A selective overview of nonparametric methods in financial econometrics

Simple item page
dc.creatorFan, Jianqing
dc.date2004-11-01
dc.date.accessioned2026-07-07T12:11:10Z
dc.date.available2026-07-07T12:11:10Z
dc.descriptionThis paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of 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 main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications.
dc.description32 pages include 7 figures
dc.identifierhttps://arxiv.org/abs/math/0411034
dc.identifierhttp://arxiv.org/abs/math/0411034
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210142
dc.subjectStatistics Theory
dc.subjectGeneral Finance
dc.subject62G05, 62P20, 62M99
dc.titleA selective overview of nonparametric methods in financial econometrics
dc.typetext

Files

Collections

arXiv