A Selective Overview of Nonparametric Methods in Financial Econometrics

摘要: This paper gives a brief overview of the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inference instantaneous returns volatility functions time-homogeneous time-dependent diffusion processes, transition densities state price densities. We first briefly describe then outline main results. Some probabilistic aspects processes also summarized to facilitate our presentation applications.