Maximum penalized quasi-likelihood estimation of the diffusion function
Taqqu, Murad S.
MetadataShow full item record
Citation (published version)Jeff Hamrick, Yifei Huang, Constantinos Kardaras, Murad S Taqqu. 2011. "Maximum penalized quasi-likelihood estimation of the diffusion function." QUANTITATIVE FINANCE, Volume 11, Issue 11, pp. 1675 - 1684 (10). https://doi.org/10.1080/14697688.2011.615212
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.
Showing items related by title, author, creator and subject.
Beck, Margaret; Cooper, Eric; Spiliopoulos, Konstantinos (London Mathematical Society, 2018-12-20)The two dimensional incompressible Navier–Stokes equation on 𝘋𝛿 := [0,2𝜋𝛿] × [0,2𝜋] with 𝛿 ≈ 1, periodic boundary conditions, and viscosity 0 < 𝑣 ≪ 1 is considered. Bars and dipoles, two explicitly given quasi-stationary ...
Li, Ye; Perron, Pierre (TAYLOR & FRANCIS INC, 2017-01-01)We consider issues related to inference about locally ordered breaks in a system of equations, as originally proposed by Qu and Perron (2007 Qu, Z., Perron, P. (2007). Estimating and testing structural changes in multivariate ...
Perron, Pierre; Rodriguez, Gabriel (WILEY-BLACKWELL, 2016-02-01)We provide generalized least-squares (GLS) detrended versions of single-equation static regression or residuals-based tests for testing whether or not non-stationary time series are cointegrated. Our approach is to consider ...