A selective overview of nonparametric methods in financial econometrics

Jianqing Fan

History and Overview mathscidoc:1912.43283

Statistical Science, 317-337, 2005.11
This paper gives a brief overview of the 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.
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@inproceedings{jianqing2005a,
  title={A selective overview of nonparametric methods in financial econometrics},
  author={Jianqing Fan},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221113452767088843},
  booktitle={Statistical Science},
  pages={317-337},
  year={2005},
}
Jianqing Fan. A selective overview of nonparametric methods in financial econometrics. 2005. In Statistical Science. pp.317-337. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221113452767088843.
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