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Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function

Kanaya, Shin - 2016

Persistent link: https://www.econbiz.de/10011524109

Uniform convergence rates of Kernel-based nonparametric estimators for continuous time diffusion processes : a damping function approach

Kanaya, Shin - 2015

Persistent link: https://www.econbiz.de/10011387609

Uniform convergence rates of Kernel-based nonparametric estimators for continuous time diffusion processes : a damping function approach

Kanaya, Shin - In: Econometric theory 33 (2017) 4, pp. 874-914

Persistent link: https://www.econbiz.de/10011810216

Convergence rates of sums of α-mixing triangualr arrays : with an application to nonparametric drift function estimation of continuous-time processes

Kanaya, Shin - In: Econometric theory 33 (2017) 5, pp. 1121-1153

Persistent link: https://www.econbiz.de/10011810254

Estimation of Stochastic Volatility Models by Nonparametric Filtering

Kristensen, Dennis - 2010

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the (unobserved) instantaneous volatility process using the estimator of Kristensen (2010, Econometric Theory 26). In the second step, standard estimation methods for fully observed diffusion...

Persistent link: https://www.econbiz.de/10013136828

Estimation of stochastic volatility models by nonparametric filtering

Kanaya, Shin; Kristensen, Dennis - 2010

Persistent link: https://www.econbiz.de/10008663983

Uniform consistency for nonparametric estimators in null recurrent time series

Gao, Jiti; Kanaya, Shin; Li, Degui; Tjostheim, Dag - 2013

Persistent link: https://www.econbiz.de/10009790613

Estimation of stochastic volatility models by nonparametric filtering

Kanaya, Shin; Kristensen, Dennis - 2015

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed diffusion processes are employed, but with the...

Persistent link: https://www.econbiz.de/10010487528

Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes

Kanaya, Shin - 2016

Persistent link: https://www.econbiz.de/10011544521

Uniform consistency for nonparametric estimators in null recurrent time series

Gao, Jiti; Kanaya, Shin; Li, Degui; Tjostheim, Dag - In: Econometric theory 31 (2015) 5, pp. 911-952

Persistent link: https://www.econbiz.de/10011545492