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The Asymptotic Variance of the Continuous-Time Kernel Estimator with Applications to Bandwidth Selection

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  • M. Sköld

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  • M. Sköld, 2001. "The Asymptotic Variance of the Continuous-Time Kernel Estimator with Applications to Bandwidth Selection," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 99-117, January.
    • Handle: RePEc:spr:sistpr:v:4:y:2001:i:1:p:99-117
    DOI: 10.1023/A:1017520326698
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    References listed on IDEAS

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    1. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
    2. Bosq, Denis & Merlevède, Florence & Peligrad, Magda, 1999. "Asymptotic Normality for Density Kernel Estimators in Discrete and Continuous Time," Journal of Multivariate Analysis, Elsevier, vol. 68(1), pages 78-95, January.
    3. Blanke, D. & Bosq, D., 1997. "Accurate rates of density estimators for continuous-time processes," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 185-191, April.
    4. Pritsker, Matt, 1998. "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 449-487.
    5. Kim, Tae Yoon & Cox, Denis D., 1997. "A Study on Bandwidth Selection in Density Estimation under Dependence," Journal of Multivariate Analysis, Elsevier, vol. 62(2), pages 190-203, August.
    6. Sköld, Martin & Hössjer, Ola, 1999. "On the asymptotic variance of the continuous-time kernel density estimator," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 97-106, August.
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