Nonparametric trend coefficient estimation for multidimensional diffusions

Bianchi, Annamaria

doi:10.1016/j.crma.2007.05.012

Search citation statements

Order By: Relevance

Paper Sections

Select...

Introduction1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2009

2022

Publication Types

Select...

Article4

Relationship

Self Cite1

Independent3

Authors

Journals

Cited by 4 publications

(1 citation statement)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Recent developments include nonparametric method in Bianchi (2007), Markov chain Monte Carlo method in Kalogeropoulos (2007) and Golightly and Wilkinson (2008), and Hermite polynomials approximation in Aït-Sahalia (2008). The method in Aït-Sahalia (2008) offers a closed-form expansion for the transition density and yields high numerical precision for a large class of SDEs.…”

Section: Introductionmentioning

confidence: 99%

Quasi-maximum likelihood estimation of multivariate diffusions

Huang

2013

Studies in Nonlinear Dynamics and Econometrics

View full text Add to dashboard Cite

This paper introduces quasi-maximum likelihood estimator for multivariate di¤usions based on discrete observations. A numerical solution to the stochastic di¤erential equation is obtained by higher order Wagner-Platen approximation and it is used to derive the …rst two conditional moments. Monte Carlo simulation shows that the proposed method has good …nite sample property for both normal and non-normal di¤usions. In an application to estimate stochastic volatility models, we …nd evidence of closeness between the CEV model and the GARCH stochastic volatility model. This …nding supports the discrete time GARCH modeling of market volatility.

show abstract

Section: Introductionmentioning

confidence: 99%