Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed
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Cited by:
- Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, Department of Economics and Business Economics, Aarhus University.
- Timothy Christensen, 2014. "Nonparametric Stochastic Discount Factor Decomposition," Papers 1412.4428, arXiv.org, revised May 2017.
- Kristensen, Dennis, 2004.
"Estimation in two classes of semiparametric diffusion models,"
LSE Research Online Documents on Economics
24739, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
- Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
- Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 321-357.
- Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers CWP24/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ilia Negri & Yoichi Nishiyama, 2011. "Goodness of fit test for small diffusions by discrete time observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(2), pages 211-225, April.
- De Gregorio, Alessandro & Maria Iacus, Stefano, 2010.
"Clustering of discretely observed diffusion processes,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 598-606, February.
- Alessandro De Gregorio & Stefano Iacus, 2008. "Clustering of discretely observed diffusion processes," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1077, Universitá degli Studi di Milano.
- Alessandro De Gregorio & Stefano Maria Iacus, 2008. "Clustering of discretely observed diffusion processes," Papers 0809.3902, arXiv.org.
- Ilia Negri & Yoichi Nishiyama, 2010. "Goodness of fit test for ergodic diffusions by tick time sample scheme," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 81-95, April.
- Xiaohong Chen & Lars Peter Hansen & Jose Scheinkman, 2009. "Principal Components and Long Run Implications of Multivariate Diffusions," Cowles Foundation Discussion Papers 1694, Cowles Foundation for Research in Economics, Yale University.
- Yunyan Wang & Lixin Zhang & Mingtian Tang, 2012. "Re-weighted functional estimation of second-order diffusion processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1129-1151, November.
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Keywords
Diffusion processes; Nonparametric estimation; Discrete Sarnpling; Low frequency data; Spectral approximation; Ill-posed problems;All these keywords.
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