Fully Nonparametric Estimation of Scalar Diffusion Models

By F. Bandi, Peter C. B. Phillips. 2003

381 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/cf5af87cff99f7483f1cd03c3248a50328a31e37

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Citations in the corpus

Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach (2007, positive): “Similar …ndings are established in Bandi and Phillips (2003): Their spatial kernel estimator of the drift term for Markov processes only converges as T !”
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA (2009, positive): “…1999; Cai, 2007; Kristensen, 2008), (b) continuous-time stochastic processes sampled at discrete time points where time between observations shrinks (Bandi and Phillips, 2003; Kristensen, 2009), and (c) Markov chains that have not been initialized at their stationary distribution (Kim and Lee,…”
Efficient Minimum Distance Estimation with Multiple Rates of Convergence (2012, background): “All the proofs are gathered in the appendix.”
Jackknifing Bond Option Prices (2005, positive): “…has also led to the introduction of more flexible methods of estimation, such as the semiparametric treatment of diffusion in Aı̈t-Sahalia (1996a) and the fully nonparametric approaches of Stanton (1997) and Bandi and Phillips (2003) that allow users to be agnostic regarding functional form.”
A Test for model specification of diffusion processes (2007, background): “the effects of high order stochastic expansions and proposed separate generalized likelihood ratio tests for the drift and diffusion functions; Bandi and Phillips [7] considered a two-stage kernel estimation without the strictly stationary assumption.”
High-frequency factor models and regressions (2020, positive): “A realized beta estimator, constructed as the ratio of realized covariance to realized variance, was proposed in Barndorff-Nielsen and Shephard (2004) and Andersen et al.”
Specification testing in nonlinear and nonstationary time series autoregression (2009, background): “…and Park (1998) and Karlsen and Tjøstheim (1998, 2001) on nonparametric autoregression, Park and Phillips (2001) on parametric nonlinear regression, Bandi and Phillips (2003) on nonparametric estimation of nonstationary diffusion models, Wang and Phillips (2009) on nonparametric kernel estimation…”
Search for Additive Nonlinear Time Series Causal Models (2008, methodology): “However, recent studies on applying nonparametric regression methods to nonstationary time series data (Phillips and Park, 1998; Karlsen and Tjøstheim, 2001; Bandi and Phillips, 2003; Karlsen et al., 2005) seem promising.”
Empirical comparisons in short-term interest rate models using nonparametric methods (2006, neutral): “…❱❣❨❂✶●❴ ✪✢❑❇❱❤❴ ✶✟❱ Ù Ü❀❛❞❤ Ú ❭✦❪⑥s❵❭▼Ô✢❤❵❡♥❪❴❤②❭✑Þ❉❱❳❲✦❨✽Ö✦❪❴î⑩q✦❝✧❪⑥❤②❭➓✐➟q✦❭✒Ò❹❡♥❪❴❤②❭▼❪⑥❝✟s❵t⑥❝✧❤→❛❞❨❹✐➟❨❹❛❞❛✧❨❜Ö➵❡♥❤✼s❵❝✟❡❞❲✦❨➌❪⑥❭✦❝✖❡❷s❵❭✷❡♥s❵❭✦❨❜❤❵q✦❝✟❫❥s❵❛❞❪⑥s❵❭✦Ò❜❨❥Þ…”
CONFIDENCE BANDS IN NONPARAMETRIC TIME SERIES REGRESSION (2008, background): “See Aït-Sahalia [1] and Bandi and Phillips [3] for more discussions.”