文章基本信息

标题：Semiparametric Estimation of Locally Stationary Diffusion Models1
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作者：Bonsoo Koo, Oliver Linton
期刊名称：Econometrics Publications
印刷版ISSN：0969-4366
出版年度：2010
卷号：1
出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators of all the unknown quantities based on long span data. Our estimation method makes use of the local stationarity. We establish asymptotic theory for the proposed estimators as the time span increases. We apply this method to the real financial data to illustrate the validity of our model. Finally, we present a simulation study to provide the finitesample performance of the proposed estimators.
关键词：Keywords: diffusion processes, local stationarity, term structure dynamics, density matching, option pricing.