Nonstationary Continuous-Time Processes英文

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1、NonstationaryContinuous-TimeProcesses¤FedericoM.BandiPeterC.B.PhillipsGraduateSchoolofBusiness,CowlesFoundationforResearchinEconomics,TheUniversityofChicagoYaleUniversityFirstversion:September,2001Thisversion:May14,2002¤Preliminary-Commentsarewelcome.Paperwrittenfor

2、theHandbookofFinancialEconometricseditedbyYacineA¨ıt-SahaliaandLarsPeterHansen.WethankDarrellDuffie,BenoitPerronandMarkWatsonfordiscussionsandSeoyeonLeeforresearchassistance.BandiacknowledgesfinancialsupportfromtheIBMCorporationFacultyResearchFundattheUniversityofChica

3、go.PhillipsthanksfheNSFforsupportundergrantno.SES0092509.CommentsarewelcomeandcanbesenttoFedericoM.Bandiatfederico.bandi@gsb.uchicago.edu.1Contents(1)Introduction(2)IntuitionandConditions(3)ScalarDiffusionProcesses(SDP’s)(3.1)GeneralizedDensityEstimationforSDP’s(3.2)

4、KernelEstimationoftheInfinitesimalConditionalMomentsofanSDP(3.2.1)TheChoiceoftheBandwidth(3.2.2)ExtensioninKernelEstimationforSDP’s(3.3)LocalLinearEstimationoftheInfinitesimalConditionalMomentsofanSDP(3.4)UsingNonparametricInformationtoEstimateandTestParametricModelsf

5、orSDP’s(4)ScalarJump-DiffusionProcesses(SJDP’s)(4.1)GeneralizedDensityEstimationforSJDP’s(4.2)KernelEstimationoftheInfinitesimalConditionalMomentsofanSJDP(5)MultivariateDiffusionProcesses(MDP’s)(5.1)GeneralizedDensityEstimationforMDP’s(5.2)KernelEstimationoftheInfinites

6、imalConditionalMomentsofanMDP(6)Application:TheShort-EndoftheTermStructureofInterestRates(7)ConcludingRemarks(8)References(9)TablesandGraphs21IntroductionAlargebodyofrecentassetpricingtheoryiswrittenincontinuous-time,forwhichMer-ton(1990)andDuffie(1996)areclassicrefer

7、ences.Notwithstandingtheevidentbenefitofcontinuous-timetoolsformodellingpurposesandrecentadvancesintheeconometrictreatmentofcontinuous-timemodels,1theuseofstochasticprocesseswithcontinuous(intime)samplepathsstillposesremarkablechallengeswhenitcomestotheeconometrices-

8、timationandempiricalimplementationofmodernassetpricingmodels.Campbell,LoandMcKinlay(1997,CKLhenceforth)andGourierouxandJasiak(2001)arerece