In this paper, we consider alternative approaches to the estimation of Itˆo diffusion processes from discretely sampled observations. Based on Monte Carlo simulation, we investigate the finite sample properties of various estimators and in particular compare the performance of the nonparametric...

This article examines the class of continuous-time stochastic processes commonly known as af fine diffusions (AD's) and af fine jump diffusions (AJD's). By deriving the joint characteristic function, we are able to examine the statistical properties as well as develop an efficient estimation...

In this paper, we propose a nonparametric identification and estimation procedure for an It6 diffusion process based on discrete sampling observations. The nonparametric kernel estimator for the diffusion function developed in this paper deals with general It6 diffusion processes and avoids any...