Articlegreen2003

BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION

34 citations0/0 files storedEconometric Theory

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Statistical Methods and Inference

Abstract

In this paper, we quantify the asymptotic bias of the Florens-Zmirou (1993, Journal of Applied Probability 30, 790–804) and Jiang and Knight (1997, Econometric Theory 13, 615–645) estimator for the diffusion coefficient when the step of discretization is fixed, and then we propose a bias adjustment that partially compensates for the distortion. Also, we show that our estimators have all the asymptotic properties of the Florens-Zmirou and Jiang and Knight estimator when the step of discretization goes to zero. We provide some examples.I thank the editor Peter C.B. Phillips and the two referees for comments and suggestions that led to considerable improvement of the paper. I am also grateful to Carlos Braumann and Tom Kundert for helpful comments. This research was supported by the Fundação para a Ciência e a Tecnologia (FCT) and by POCTI.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

1983Stochastic Differential Equations and Diffusion Processes 1976Stochastic Differential Equations: Theory and Applications.2001The Distribution of Realized Exchange Rate Volatility 1991Continuous-Time Finance.1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk 1995Nonparametric Pricing of Interest Rate Derivative Securities 1998Efficient estimation of conditional variance functions in stochastic regression 1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

Cited by

2009REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS 2011Semi-nonparametric estimation and misspecification testing of diffusion models 2012Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.