Semiparametric Diffusion Estimation and Application to a Stock Market Index

Wolfgang Härdle, Torsten Kleinow, Alexander Korostelev, Camille Logeay and Eckhard Platen ()

No 51, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: 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.

Keywords: diffusion; identification; continuous-time financial models; semi-parametric methods; kernel smoothing; bootstrap (search for similar items in EconPapers)
JEL-codes: C51 C52 G22 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2001-03-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published as: Hardle, W., Kleinow, A., Logeay, C. and Platen, E., 2008, "Semiparametric Diffusion Estimation and Application to a Stock Market Index", Qantitative Finance, 8(1), 81-92.

Downloads: (external link)
http://www.qfrc.uts.edu.au/research/research_papers/rp51.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.qfrc.uts.edu.au/research/research_papers/rp51.pdf [301 Moved Permanently]--> http://www.uts.edu.au/node/51831 [301 Moved Permanently]--> https://www.uts.edu.au/node/51831)

Related works:
Journal Article: Semiparametric diffusion estimation and application to a stock market index (2008)
Working Paper: Semiparametric diffusion estimation and application to a stock market index (2001)
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: https://EconPapers.repec.org/RePEc:uts:rpaper:51

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().