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dc.contributor.authorDarolles, Serge
dc.contributor.authorGouriéroux, Christian
dc.date.accessioned2012-05-04T11:27:12Z
dc.date.available2012-05-04T11:27:12Z
dc.date.issued2001-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9138
dc.language.isoenen
dc.subjectTruncationen
dc.subjectDiffusion processen
dc.subjectSieve methoden
dc.subjectInfinitesimal generatoren
dc.subjectHigh-frequency dataen
dc.subjectExtreme risksen
dc.subject.ddc332en
dc.subject.classificationjelC14en
dc.subject.classificationjelC22en
dc.subject.classificationjelC40en
dc.titleTruncated dynamics and estimation of diffusion equationsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe study inference on continuous-time processes from discrete data with a given time interval between consecutive observations, and propose a modification of the sieve estimation method based on the infinitesimal generator. Our approach consists on truncating the initial process to improve the estimationof the eigenfunctions at the boundaries of the set of admissible values. For diffusion processes, nonparametric estimationof the drift and volatility are derived. A prior truncation is also useful to eliminate in practice the specific dynamicsof extreme risks.en
dc.relation.isversionofjnlnameJournal of Econometrics
dc.relation.isversionofjnlvol102en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2001-05
dc.relation.isversionofjnlpages1–22en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0304-4076(00)00085-3en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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