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Improving the term structure of interest rates : two-factor models

Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287

Persistent link: https://www.econbiz.de/10008702343

Nonparametric estimation of jump diffusion models

Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715

Persistent link: https://www.econbiz.de/10012619778

A nonparametric specification test for the volatility functions of diffusion processes

Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576

Persistent link: https://www.econbiz.de/10012181335

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020

Persistent link: https://www.econbiz.de/10012216029

Local asymptotic equivalence of pure states ensembles and quantum Gaussian white noise

Butucea, Cristina; Guta, Madalin; Nussbaum, Michael - 2017

Persistent link: https://www.econbiz.de/10012198585

Nonparametric jump variation measures from options

Todorov, Viktor - In: Journal of econometrics 230 (2022) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10013463804

Nonparametric estimation of multivariate elliptic densities via finite mixture sieves

Battey, Heather; Linton, Oliver - 2013

This paper considers the class of p-dimensional elliptic distributions (p = 1) satisfying the consistency property (Kano, 1994) and within this general framework presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the online...

Persistent link: https://www.econbiz.de/10009734314