Nonparametric estimation of diffusion process: a closer look

Orazio Di Miscia
Additional contact information
Orazio Di Miscia: Banca Intesa

Finance from EconWPA

Abstract: A Monte Carlo simulation is performed to investigate the finite sample properties of a nonparametric estimator, based on discretely sampled observations of continuous-time Ito diffusion process. Chapman and Pearson (2000) studies finite-sample properties of the nonparametric estimator of Aýt-Sahalia (1996) and Stanton (1997) and they find that nonlinearity of the short rate drift is not a robust stylized fact but it’s an artifacts of the estimation procedure. This paper examine the finite sample properties of a different nonparametric estimator within the Stanton (1997)’s framework.

Keywords: ewp-mac/050417 (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2005-04-19
Note: Type of Document - pdf; pages: 17
View list of references

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0504/0504016.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504016

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().