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Uniform convergence rates of Kernel-based nonparametric estimators for continuous time diffusion processes : a damping function approach
Kanaya, Shin - In: Econometric theory 33 (2017) 4, pp. 874-914
Persistent link: https://www.econbiz.de/10011810216
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Convergence rates of sums of α-mixing triangualr arrays : with an application to nonparametric drift function estimation of continuous-time processes
Kanaya, Shin - In: Econometric theory 33 (2017) 5, pp. 1121-1153
Persistent link: https://www.econbiz.de/10011810254
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A permutation-based estimator for monotone index models
Bhattacharya, Debopam - In: Econometric theory 24 (2008) 3, pp. 795-807
Persistent link: https://www.econbiz.de/10003894302
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Asymptotic inference from multi-stage samples
Bhattacharya, Debopam - In: Journal of econometrics 126 (2005) 1, pp. 145-171
Persistent link: https://www.econbiz.de/10002538644
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjostheim, Dag - 2013
Persistent link: https://www.econbiz.de/10009790613
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Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjostheim, Dag - In: Econometric theory 31 (2015) 5, pp. 911-952
Persistent link: https://www.econbiz.de/10011545492
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed diffusion processes are employed, but with the...
Persistent link: https://www.econbiz.de/10010487528
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Non-parametric econometric methods for continuous-time diffusion models
Kanaya, Shin - 2008
Persistent link: https://www.econbiz.de/10011405297