Hamrick, Jeff, Huang, Yifei, Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506 and Taqqu, Murad S.
(2011)
Maximum penalized quasi-likelihood estimation of the diffusion function.
Quantitative Finance, 11 (11).
pp. 1675-1684.
ISSN 1469-7688
Abstract
We develop a maximum penalized quasi-likelihood estimator for estimating in a non-parametric way the diffusion function of a diffusion 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 Offered Rates (LIBOR), the USD/EUR, USD/GBP, JPY/USD, and EUR/USD nominal exchange rates, and the 1-month, 3-month Treasury bill yields, and 30-year Treasury bond yields are generated by diffusion processes, we use our numerical scheme to estimate the diffusion function.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.tandfonline.com/toc/rquf20/current |
| Additional Information: | © 2011 Taylor & Francis |
| Divisions: | Statistics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 30 Nov 2017 11:39 |
| Last Modified: | 06 Jan 2024 00:33 |
| URI: | http://eprints.lse.ac.uk/id/eprint/85892 |
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