Semiparametric Estimation of Locally Stationary Diffusion Models

摘要: This paper proposes a class of locally stationary diffusion processes. The model has time varying but linear drift and volatility coefficient that is allowed to vary over space. We propose estimators all the unknown quantities based on long span data. Our estimation method makes use local stationarity. establish asymptotic theory for proposed as increases. apply this real financial data illustrate validity our model. Finally, we present simulation study provide finitesample performance estimators.