Dell'Aquila, Rosario; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2004
Aït Sahalia (1996), Stanton (1997) and Jiang (1998) apply nonparametric and semi-parametric estimators to the short term interest rate and find strong nonlinearities in the drift function. In this paper we apply resistant techniques to the estimation of the drift and diffusion function. We show...