Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics

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Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2007, methodology): “The problem of estimation bias turns out to be of even greater importance in the practical use of econometric estimates in asset and option pricing, where there is nonlinear dependence of the pricing functional on the parameter estimates, as shown in Phillips and Yu (2005a).”
Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, methodology): “We refer to Sundaresan [38] and Fan [7] for overviews, Barndorff-Nielsen, Mikosch and Resnick [2] for recent developments on Lévy-driven processes, and Sørensen [34], Shimizu and Yoshida [33], Shimizu [30], Ogihara and Yoshida [26] and Masuda [25] for statistical inference.”
A Test for model specification of diffusion processes (2007, background): “See Cai and Hong [9] and Fan [15] for comprehensive reviews.”
ANOVA for diffusions and Itô processes (2006, unknown): “…op (n) h : ForIIt;2,using integration by parts, 1 h2 X t h ti< ti+ 1 t Z ti+ 1 ti Z u ti (X v X ti)dX M G v du (7.1) = 1 h2 X t h ti< ti+ 1 t Z ti+ 1 ti (X u X ti)[( ti) (u ti)]dX M G u : Equation (7.1)hasquadratic variation bounded by 1 h4 sup i X t h ti< ti+ 1 t Z ti+ 1 ti (X u X ti) 2(ti+ 1…”