Nonparametric estimation of a scalar diffusion model from discrete time data: a survey-Reference-Cited by-同舟云学术

Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

Published:2016-07-21 Issue:2 Volume:256 Page:203-219
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Gourieroux Christian,Nguyen Hung T.,Sriboonchitta Songsak

Funder

Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Thailand.

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

http://link.springer.com/article/10.1007/s10479-016-2273-6/fulltext.html

Reference58 articles.

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2. Ait-Sahalia, Y. (1996). Testing continuous-time models of the spot interest rate. The Review of Financial Studies, 9(2), 385–426.

3. Ait-Sahalia, Y. (2002). Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation approach. Econometrica, 70(1), 223–262.

4. Akonom, J. (1993). Comportment asymptotique du temps d’occupation du processus des sommes partielles. Annales de l’Institut Henri Poincaré, 29, 57–81.

5. Bachelier, L. (1900). Théorie de la spé culation, Ph.D. Thesis, University Paris Sorbonne. Louis Bachelier’s Theory of Speculation: The Origin of Modern Finance (M. Davis & A. Etheridge, Trans.). Princeton University Press, 2006.

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