Reexamination of diffusion estimators with applications to financial model validation

Journal of the American Statistical Association

Volumn 98, Issue 461, 2003, Pages 118-134

  Fan, Jianqing ^a,b   Zhang, Chunming ^c  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^c University of Wisconsin ^*  (United States)

Author keywords

Goodness of fit; Local polynomial regression; Markovian; Stochastic differential equation; Variance estimation

Indexed keywords

EID: 0037361697     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214503388619157     Document Type: Article

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