Estimating the diffusion coefficient function for a diversified world stock index

Ignatieva, K; Platen, E

Estimating the diffusion coefficient function for a diversified world stock index

Ignatieva, K Platen, E

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Publication Type:: Journal Article
Citation:: Computational Statistics and Data Analysis, 2012, 56 (6), pp. 1333 - 1349
Issue Date:: 2012-06-01

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Field	Value	Language
dc.contributor.author	Ignatieva, K	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2012-06-01	en_US
dc.identifier.citation	Computational Statistics and Data Analysis, 2012, 56 (6), pp. 1333 - 1349	en_US
dc.identifier.issn	0167-9473	en_US
dc.identifier.uri	http://hdl.handle.net/10453/18817
dc.description.abstract	This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use the nonparametric kernel-based estimation to empirically identify a square root type diffusion coefficient function in the dynamics of the discounted WSI. A square root process turns out to be an excellent building block for a parsimonious model for the WSI. Its dynamics allow capturing various empirical stylized facts and long term properties of the index, as well as, the explicit computation of various financial quantities. © 2011 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Computational Statistics and Data Analysis	en_US
dc.relation.isbasedon	10.1016/j.csda.2011.10.004	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Estimating the diffusion coefficient function for a diversified world stock index	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.citation.volume	56	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	0104 Statistics	en_US
utslib.for	0802 Computation Theory and Mathematics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	6	en_US
pubs.publication-status	Published	en_US
pubs.volume	56	en_US

Abstract:

This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use the nonparametric kernel-based estimation to empirically identify a square root type diffusion coefficient function in the dynamics of the discounted WSI. A square root process turns out to be an excellent building block for a parsimonious model for the WSI. Its dynamics allow capturing various empirical stylized facts and long term properties of the index, as well as, the explicit computation of various financial quantities. © 2011 Elsevier B.V. All rights reserved.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/18817