Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying

The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power. Copyright 1993 Blackwell Publishers.

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Year of publication:	1993
Authors:	Chesney, Marc ; Elliott, Robert J. ; Madan, Dilip ; Yang, Hailiang
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 3.1993, 2, p. 85-99
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521982