A selective overview of nonparametric methods in financial econometrics

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Abstract

This paper gives a brief overview of the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inference for 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 the main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications. Asset pricing, diffusion, drift, GLR tests, simulations, state price density, time-inhomogeneous model, transition density, volatility.

Original languageEnglish (US)
Pages (from-to)317-337
Number of pages21
JournalStatistical Science
Volume20
Issue number4
DOIs
StatePublished - Nov 2005

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

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