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A selective overview of nonparametric methods in financial econometrics (2005)
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| Venue: | Statist. Sci |
| Citations: | 51 - 8 self |
BibTeX
@ARTICLE{Fan05aselective,
author = {Jianqing Fan},
title = {A selective overview of nonparametric methods in financial econometrics},
journal = {Statist. Sci},
year = {2005},
volume = {20},
pages = {317--337}
}
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Abstract
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.
Keyphrases
selective overview financial econometrics nonparametric method instantaneous return state price density nonparametric technique volatility function time-dependent diffusion process diffusion process financial econometric problem transition density main result useful probabilistic aspect brief overview main technique
