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Econometrics Paper
Semiparametric Estimation of Locally Stationary Diffusion Models Bonsoo Koo and Oliver Linton
August 2010
Paper No' EM/2010/551:
Read Abstract | Full Paper (pdf)

JEL Classification: C14, C32

Tags: diffusion processes; local stationarity; term structure dynamics; density matching; option pricing.

Econometrics Paper
Efficient Estimation of a Multivariate Multiplicative Volatility Model Christian M. Hafner and Oliver Linton
October 2009
Paper No' EM/2009/541:
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JEL Classification: C12, C13, C14.

Tags: garch; kernel estimation; local stationarity; semiparametric