Semiparametric Diffusion Estimation and Application to a Stock Market Model

The analysis of diffusion process in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on semiparametric and nonparametric estimates. The testing is performed via the wild bootstrap resampling technique. The method is illustrated on S&P 500 index.

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Year of publication:	2001-03-01
Authors:	Hardle, Wolfgang ; Kleinow, Torsten ; Korostelev, Alexander ; Logeay, Camille ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School
Subject:	diffusion \| identification \| continuous-time financial models \| semi-parametric methods \| kernel smoothing \| bootstrap

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 51
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984483