This case describes and tests a nonparametric procedure introduced in Stanton (1997) in a continuous path setting and then extended to mixed-jump diffusions in Johannes (1999, 2004) and Bandi and Nguyen (1999, 2003), who provide a rigorous treatment of the underlying statistical theory.
Case-Study: Nonparametric Estimation of Jump-Diffusions
FIGA' TALAMANCA, GIANNA;
2008
Abstract
This case describes and tests a nonparametric procedure introduced in Stanton (1997) in a continuous path setting and then extended to mixed-jump diffusions in Johannes (1999, 2004) and Bandi and Nguyen (1999, 2003), who provide a rigorous treatment of the underlying statistical theory.File in questo prodotto:
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