Rejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics

@inproceedings{Benheim2005RejoinderAS,
  title={Rejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics},
  author={Jianqing Fan Benheim},
  year={2005}
}
This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and… CONTINUE READING
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