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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying


Chesney, Marc; Elliott, Robert J; Madan, Dilip B; Yang, Hailiang (1993). Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. Mathematical Finance, 3(2):85-99.

Abstract

The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.

The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Date:1993
Deposited On:03 Jan 2012 17:19
Last Modified:05 Apr 2016 15:19
Publisher:Wiley-Blackwell
ISSN:0960-1627
Publisher DOI:https://doi.org/10.1111/j.1467-9965.1993.tb00080.x
Official URL:http://www.bf.uzh.ch/publikationen/pdf/publ_930.pdf
Other Identification Number:merlin-id:4686

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