A Semiparametric Model of Estimating Volatility of Diffusion Processes

Autor:	Isao Shoji
Rok vydání:	2013
Předmět:	Statistics and Probability Stochastic differential equation Diffusion equation State-space representation Applied Mathematics Econometrics Applied mathematics Sampling time Statistics Probability and Uncertainty Volatility (finance) Semiparametric model Mathematics
Zdroj:	Stochastic Analysis and Applications. 31:250-261
ISSN:	1532-9356 0736-2994
Popis:	This article provides a semiparametric model to estimate the diffusion coefficient of a stochastic differential equation from discretely observed data without assuming any functional form of the diffusion coefficient. It is shown that the model has the consistency such that estimated states of the diffusion coefficient converge to the true ones as the number of observations (N) goes to infinity and the sampling time interval (Δt) goes to zero while NΔt going to infinity.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c246f1972d0a74ca7506be7401aede2a https://doi.org/10.1080/07362994.2013.759487 Zobrazit plný text záznamu