Hamrick, JeffHuang, YifeiKardaras, ConstantinosTaqqu, Murad S.2019-08-282019-08-282011-01-01Jeff 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/10.1080/14697688.2011.6152121469-7688https://hdl.handle.net/2144/37419We 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.p. 1675 - 1684Social sciencesBusiness, financeEconomicsMathematics, interdisciplinary applicationsSocial sciences, mathematical methodsBusiness & economicsMathematicsMathematical methods in social sciencesPenalized quasi-likelihoodDiffusionsNonparametric estimationq-fin.STFinanceMathematical sciencesCommerce, management, tourism and servicesMaximum penalized quasi-likelihood estimation of the diffusion functionArticle10.1080/14697688.2011.6152120000-0002-1145-9082 (Taqqu, Murad S)54190