A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model

Econometric Theory

Volumn 13, Issue 5, 1997, Pages 615-645

  Jiang, George J ^a   Knight, John L ^b  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031536748     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006101     Document Type: Article

References (4)

1. Aït-Sahalia, Y. (1996) Nonparametric pricing of interest rate derivative securities. Econometrica 64 (3), 527-560.
2. Banon, G. (1978) Nonparametric identification for diffusion processes. SIAM Journal of Control and Optimization 16, 380-395.
3. Banon, G. & H.T. Nguyen (1981) Recursive estimation in diffusion models. SIAM Journal of Control and Optimization 19, 676-685.
4. Bartlett, M.S. (1946) On the theoretical specification and sampling properties of autocorrelated time series. Journal of the Royal Statistical Society Supplement 8, 27-41.