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We propose a fully nonparametric estimation theory for the drift vector and the diffusion matrix of multivariate diffusion processes. The estimators are sample analogues to infinitesimal conditional expectations constructed as Nadaraya-Watson kernel averages. Minimal assumptions are imposed on...
Persistent link: https://www.econbiz.de/10011108074
We propose a theoretical approach to bandwidth choice for continuous-time Markov processes. We do so in the context of stationary and nonstationary processes of the recurrent kind. The procedure consists of two steps. In the first step, by invoking local Gaussianity, we suggest an automated...
Persistent link: https://www.econbiz.de/10015235275
We propose a fully nonparametric estimation theory for the drift vector and the diffusion matrix of multivariate diffusion processes. The estimators are sample analogues to infinitesimal conditional expectations constructed as Nadaraya-Watson kernel averages. Minimal assumptions are imposed on...
Persistent link: https://www.econbiz.de/10015235274
This paper studies the functional estimation of the drift and diffusion functions for recurrent scalar diffusion processes from equally spaced observations using the local polynomial kernel approach. Almost sure convergence and a CLT for the estimators are established as the sampling frequency...
Persistent link: https://www.econbiz.de/10011110307
A host of recent studies show that attention allocation has important economic consequences. This paper reports the first empirical test of a cost-benefit model of the endogenous allocation of attention. The model assumes that economic agents have finite mental processing speeds and cannot...
Persistent link: https://www.econbiz.de/10011113378
The note examines the susceptibility of envy-free variants of Knaster procedure to manipulations and collusions .
Persistent link: https://www.econbiz.de/10008836727
Persistent link: https://www.econbiz.de/10001328551
Persistent link: https://www.econbiz.de/10010260057
This article evaluates the economic benefit of methods that have been suggested to optimally sample (in an MSE sense) high-frequency return data for the purpose of realized variance/covariance estimation in the presence of market microstructure noise (Bandi and Russell, 2005a, 2008). We compare...
Persistent link: https://www.econbiz.de/10005476176
We argue that the conventional predictive regression between implied volatility (regressor) and realized volatility over the remaining life of the option (regressand) is likely to be a fractional cointegrating relation. Since cointegration is associated with long-run comovements, this finding...
Persistent link: https://www.econbiz.de/10005119137