Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

Author(s): Ait-Sahalia, Yacine; Park, Joon Y.

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DC Field	Value	Language
dc.contributor.author	Ait-Sahalia, Yacine	-
dc.contributor.author	Park, Joon Y.	-
dc.date.accessioned	2019-12-04T18:51:58Z	-
dc.date.available	2019-12-04T18:51:58Z	-
dc.date.issued	2016-05	en_US
dc.identifier.citation	Ait-Sahalia, Yacine, Park, Joon Y. (2016). Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models. Journal of Econometrics, 192 (1), 119 - 138. doi:10.1016/j.jeconom.2015.11.002	en_US
dc.identifier.issn	0304-4076	-
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/pr1d18j	-
dc.description.abstract	We derive the asymptotic properties of nonparametric estimators of the drift and diffusion functions, and the local time, of a discretely sampled diffusion process that is possibly nonstationary. We provide complete two-dimensional asymptotics in both the time span and the sampling interval, allowing for a precise characterization of their distribution, as well as the determination of optimal bandwidths for these estimators.	en_US
dc.format.extent	119 - 138	en_US
dc.language.iso	en_US	en_US
dc.relation.ispartof	Journal of Econometrics	en_US
dc.rights	Author's manuscript	en_US
dc.title	Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models	en_US
dc.type	Journal Article	en_US
dc.identifier.doi	doi:10.1016/j.jeconom.2015.11.002	-
pu.type.symplectic	http://www.symplectic.co.uk/publications/atom-terms/1.0/journal-article	en_US

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