Efficient estimation for the volatility of stochastic interest rate models

The joint analysis of non-stationary and high frequency financial data poses theoretical challenges due to that such massive data varies with time and possesses no fixed density function. This paper proposes the local linear smoothing to estimate the unknown volatility function in scalar diffusion m...

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Veröffentlicht in:	Statistical papers (Berlin, Germany) Germany), 2021-08, Vol.62 (4), p.1939-1964
Hauptverfasser:	Song, Yuping, Li, Hangyan, Fang, Yetong
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymmetry Bias Design standards Diffusion models Economic Theory/Quantitative Economics/Mathematical Methods Economics Empirical analysis Finance High frequencies Insurance Interest rates Kernels Management Mathematics and Statistics Monte Carlo simulation Normality Operations Research/Decision Theory Probability Theory and Stochastic Processes Regular Article Smoothing Statistics Statistics for Business Volatility
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