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BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION
16 references·5 citing·39 second hop
BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION (2003)BIAS REDUCTION IN NONPARAMETRIC DIFFUSION…Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Transition Densities for Inte…Statistical inference for diffusion type processes (1999)Statistical inference for dif…Spectral methods for identifying scalar diffusions (1998)Spectral methods for identify…Efficient estimation of conditional variance functions in stochastic regression (1998)Efficient estimation of condi…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model (1997)A Nonparametric Approach to t…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…On estimating the diffusion coefficient from discrete observations (1993)On estimating the diffusion c…Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1993)Back to the Future: Generatin…Continuous-Time Finance. (1991)Continuous-Time Finance.Approximate discrete-time schemes for statistics of diffusion processes (1989)Approximate discrete-time sch…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations: Theory and Applications. 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References

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  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
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  • 1998Spectral methods for identifying scalar diffusions

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109 cited
  • 1975Asymptotic likelihood theory for diffusion processes88 cited
  • Cited by

    • 2009REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS31 cited
    • 2011Semi-nonparametric estimation and misspecification testing of diffusion models27 cited
    • 2012Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels26 cited
    • 2010Local Linear Estimation of Second-Order Diffusion Models23 cited
    • 2007TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS22 cited