Nonparametric estimation of diffusion process: a closer look

Orazio Di Miscia
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Orazio Di Miscia: Banca Intesa

Finance from University Library of Munich, Germany

Abstract: A Monte Carlo simulation is performed to investigate the finite sample properties of a nonparametric estimator, based on discretely sampled observations of continuous-time Ito diffusion process. Chapman and Pearson (2000) studies finite-sample properties of the nonparametric estimator of Aýt-Sahalia (1996) and Stanton (1997) and they find that nonlinearity of the short rate drift is not a robust stylized fact but it’s an artifacts of the estimation procedure. This paper examine the finite sample properties of a different nonparametric estimator within the Stanton (1997)’s framework.

Keywords: ewp-mac/050417 (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 17 pages
Date: 2005-04-19
New Economics Papers: this item is included in nep-ecm
Note: Type of Document - pdf; pages: 17
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504016

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