Navigation auf zora.uzh.ch
Chesney, Marc; Elliott, Robert J; Madan, Dilip; Yang, Hailiang (1993). Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. Mathematical Finance, 3(2):85-99.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Social Sciences & Humanities > Accounting
Social Sciences & Humanities > Finance Social Sciences & Humanities > Social Sciences (miscellaneous) Social Sciences & Humanities > Economics and Econometrics Physical Sciences > Applied Mathematics |
| Scope: | Discipline-based scholarship (basic research) |
| Language: | English |
| Date: | 1993 |
| Deposited On: | 03 Jan 2012 17:19 |
| Last Modified: | 17 Apr 2025 03:36 |
| Publisher: | Wiley-Blackwell |
| ISSN: | 0960-1627 |
| OA Status: | Closed |
| 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 |
Chesney, Marc