Rejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics

  title={Rejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics},
  author={Jianqing Fan Benheim},
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
Highly Influential
This paper has highly influenced 11 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 185 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.


Publications citing this paper.

186 Citations

Citations per Year
Semantic Scholar estimates that this publication has 186 citations based on the available data.

See our FAQ for additional information.