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November 2005 A Selective Overview of Nonparametric Methods in Financial Econometrics
Jianqing Fan
Statist. Sci. 20(4): 317-337 (November 2005). DOI: 10.1214/088342305000000412


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.


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Jianqing Fan. "A Selective Overview of Nonparametric Methods in Financial Econometrics." Statist. Sci. 20 (4) 317 - 337, November 2005.


Published: November 2005
First available in Project Euclid: 12 January 2006

zbMATH: 1130.62364
MathSciNet: MR2210224
Digital Object Identifier: 10.1214/088342305000000412

Keywords: Asset pricing , diffusion , drift , GLR tests , simulations , state price density , time-inhomogeneous model , Transition density , Volatility

Rights: Copyright © 2005 Institute of Mathematical Statistics

Vol.20 • No. 4 • November 2005
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