A selective overview of nonparametric methods in financial econometrics

Details A selective overview of nonparametric methods in financial econometrics A selective overview of nonparametric methods in financial econometrics

2004-11-01

arxiv.org/abs/math/0411034v1

Mathematics

Statistics Theory

32 pages include 7 figures

Scientific paper

This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications.

Affiliated with

Also associated with

No associations

Rating

A selective overview of nonparametric methods in financial econometrics does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A selective overview of nonparametric methods in financial econometrics, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A selective overview of nonparametric methods in financial econometrics will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-340269