Semiparametric Estimation of Locally Stationary Diffusion Models
Year of publication: |
2010-08
|
---|---|
Authors: | Koo, Bonsoo ; Linton, Oliver |
Institutions: | Suntory and Toyota International Centres for Economics and Related Disciplines, LSE |
Subject: | diffusion processes | local stationarity | term structure dynamics | density matching | option pricing |
-
Estimation of semiparametric locally stationary diffusion models
Koo, Bonsoo, (2012)
-
Semiparametric estimation of locally stationary diffusion models
Koo, Bonsoo, (2010)
-
On the functional estimation of multivariate diffusion processes
Bandi, Federico, (2008)
- More ...
-
An Alternative Way of ComputingEfficient Instrumental VariableEstimators
Chen, Xiaohong, (2009)
-
ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL
Kim, Woocheol, (2009)
-
Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator
Härdle, Wolfgang, (2009)
- More ...