Statistical Science

A Selective Overview of Nonparametric Methods in Financial Econometrics

Jianqing Fan

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Abstract

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

Article information

Source
Statist. Sci., Volume 20, Number 4 (2005), 317-337.

Dates
First available in Project Euclid: 12 January 2006

Permanent link to this document
https://projecteuclid.org/euclid.ss/1137076647

Digital Object Identifier
doi:10.1214/088342305000000412

Mathematical Reviews number (MathSciNet)
MR2210224

Zentralblatt MATH identifier
1130.62364

Keywords
Asset pricing diffusion drift GLR tests simulations state price density time-inhomogeneous model transition density volatility

Citation

Fan, Jianqing. A Selective Overview of Nonparametric Methods in Financial Econometrics. Statist. Sci. 20 (2005), no. 4, 317--337. doi:10.1214/088342305000000412. https://projecteuclid.org/euclid.ss/1137076647


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