Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
作者： Nikolay Gospodinov , Masayuki Hirukawa
DOI: 10.1016/J.JEMPFIN.2012.04.001
关键词: Valuation of options 、 Interest rate 、 Econometrics 、 Scalar (mathematics) 、 Economics 、 Nonparametric statistics 、 Variable kernel density estimation 、 Nonparametric regression 、 Applied mathematics 、 Simulated data 、 Estimator
摘要: This paper proposes an asymmetric kernel-based method for nonparametric estimation of scalar diffusion models spot interest rates. We derive the asymptotic theory kernel estimators drift and functions general positive recurrent processes illustrate advantages Gamma bias correction efficiency gains. The finite-sample properties practical relevance proposed bond option pricing are evaluated using actual simulated data U.S.
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