Koo, Bonsoo; Linton, Oliver - In: Journal of Econometrics 170 (2012) 1, pp. 210-233
This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. The model is semiparametric because we allow these functions to be unknown and the innovation...