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A selective overview of nonparametric methods in financial econometrics. (English) Zbl 1130.62364
Summary: This paper gives a brief overview of nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inference for instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline the main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications.

MSC:
62P05Applications of statistics to actuarial sciences and financial mathematics
62G05Nonparametric estimation
60J70Applications of Brownian motions and diffusion theory
91B28Finance etc. (MSC2000)
Software:
KernSmooth
WorldCat.org
Full Text: DOI Euclid arXiv
References:
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