Prediction-based estimation for diffusion models with high-frequency data

Prediction of storm transfers and annual loads with data-based mechanistic models using high-frequency data

Excess nutrients in surface waters, such as phosphorus (P) from agriculture, result in poor water quality, with adverse effects on ecological health and costs for remediation. However, understanding and prediction of P transfers in catchments have been limited by inadequate data and over-parameterised models with high uncertainty. We show that, with high temporal resolution data, we are able to...

a new approach to credibility premium for zero-inflated poisson models for panel data

هدف اصلی از این تحقیق به دست آوردن و مقایسه حق بیمه باورمندی در مدل های شمارشی گزارش نشده برای داده های طولی می باشد. در این تحقیق حق بیمه های پبش گویی بر اساس توابع ضرر مربع خطا و نمایی محاسبه شده و با هم مقایسه می شود. تمایل به گرفتن پاداش و جایزه یکی از دلایل مهم برای گزارش ندادن تصادفات می باشد و افراد برای استفاده از تخفیف اغلب از گزارش تصادفات با هزینه پائین خودداری می کنند، در این تحقیق ...

Estimation of Continuous–Time Financial Models Using High–Frequency Data

Non-parametric estimation of the coefficients of ergodic diffusion processes based on high-frequency data

The content of this chapter is directly inspired by Comte, Genon-Catalot, and Rozenholc (2006; 2007). We consider non-parametric estimation of the drift and diffusion coefficients of a one-dimensional diffusion process. The main assumption on the diffusion model is that it is ergodic and geometrically mixing. The sample path is assumed to be discretely observed with a small regular sampling int...

Spot volatility estimation for high-frequency data

The availability of high-frequency intraday data allows us to accurately estimate stock volatility. This paper employs a bivariate diffusion to model the price and volatility of an asset and investigates kernel type estimators of spot volatility based on highfrequency return data. We establish both pointwise and global asymptotic distributions for the estimators. Jianqing Fan is Frederick Moore...