A selective overview of nonparametric methods in financial econometrics

Preprint

1 November 2004

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.math/0411034

Abstract

This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of 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 main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications.

Keywords

OVERVIEW OF NONPARAMETRIC
FINANCIAL ECONOMETRICS
NONPARAMETRIC METHODS
DENSITIES AND STATE
DIFFUSION PROCESSES
SELECTIVE OVERVIEW
VOLATILITY

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Version 1, 2004-11-01, ArXiv

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