Due to nonstationary (nearly integrated or integrated) regressors and the embedded endogeneity, a linear predictive … coefficients in predictive regression models. We apply a projection method to remove the embedded endogeneity and then adopt a two …

This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance …, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models …, and nonparametric pricing of derivatives. For each financial context, the paper discusses the suitable statistical …