13
Jan
11

Paper: Estimación no parametrica

MAXIMUM PENALIZED QUASI-LIKELIHOOD ESTIMATION OF THE DIFFUSION FUNCTION

Abstract

We develop a maximum penalized quasi-likelihood estimator for estimating in a non-parametric way the di ffusion function of a di ffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function, we study the asymptotic properties of our estimator by way of simulation. Under the assumption that overnight London Interbank O ffered Rates(LIBOR); the USD/EUR, USD/GBP, JPY/USD, and EUR/USD nominal exchange rates; and 1-month, 3-month, and 30-year Treasury bond yields are generated by di ffusion processes, we use our numerical scheme to estimate the di usion function.

Link al Paper


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