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Fully Nonparametric Estimation of Scalar Diffusion Models
8 references·16 citing·39 second hop
Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimation of Scalar …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Differential Equations (2003)Stochastic Differential Equat…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Financial Calculus: An Introduction to Derivative Pricing. (1997)Financial Calculus: An Introd…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Stochastic Differential Equations (1995)Stochastic Differential Equat…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…On estimating the expected return on the market (1980)On estimating the expected re…Time-varying leverage effects (2012)Time-varying leverage effectsTesting conditional factor models (2012)Testing conditional factor mo…Bias in the estimation of the mean reversion parameter in continuous time models (2012)Bias in the estimation of the…A fourier transform method for nonparametric estimation of multivariate volatility (2012)A fourier transform method fo…Functional data analysis for volatility (2011)Functional data analysis for …NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)NONPARAMETRIC FILTERING OF TH…A Fourier transform method for nonparametric estimation of multivariate volatility (2009)A Fourier transform method fo…Parameter estimation and bias correction for diffusion processes (2008)Parameter estimation and bias…Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2007)Seeing the Wood for the Trees…Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan (2007)Closed-form likelihood approx…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2006)How Often to Sample a Continu…The non-linear dynamics of spot freight rates in tanker markets (2005)The non-linear dynamics of sp…Jackknifing Bond Option Prices (2005)Jackknifing Bond Option PricesA Selective Overview of Nonparametric Methods in Financial Econometrics (2005)A Selective Overview of Nonpa…On the functional estimation of jump–diffusion models (2003)On the functional estimation …Nonlinear Mean Reversion in the Short-Term Interest Rate (2003)Nonlinear Mean Reversion in t…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)An equilibrium characterization of the term structure (1977)Specification Tests in Econometrics (1978)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013)The Estimation of Leverage Effect With High-Frequency Data (2013)Numerical solution of stochastic differential equations (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Pockets of Predictability (2018)Thousands of Alpha Tests (2018)Modeling Corporate Bond Returns (2023)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)‘The formula that killed Wall Street’: The Gaussian copula and modelling practices in investment banking (2014)Numerical Solution of Stochastic Differential Equations (2016)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? 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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 1995Stochastic Differential Equations384 cited
  • 1997Financial Calculus: An Introduction to Derivative Pricing.361 cited

Cited by

  • 2012Testing conditional factor models204 cited
  • 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
  • 2003On the functional estimation of jump–diffusion models161 cited
  • 2008Parameter estimation and bias correction for diffusion processes154 cited
  • 2003Nonlinear Mean Reversion in the Short-Term Interest Rate138 cited
  • 2012A fourier transform method for nonparametric estimation of multivariate volatility138 cited
  • 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited

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2005
The non-linear dynamics of spot freight rates in tanker markets
131 cited
  • 2007Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations125 cited
  • 2009A Fourier transform method for nonparametric estimation of multivariate volatility119 cited
  • 2006How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise111 cited
  • 2005Jackknifing Bond Option Prices111 cited
  • 2007Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan107 cited
  • 2012Time-varying leverage effects105 cited
  • 2011Functional data analysis for volatility104 cited
  • 2012Bias in the estimation of the mean reversion parameter in continuous time models79 cited