This paper gives a selective review on the recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing of diffusion processes, nonparametric testing of parametric diffusion models, nonparametric pricing of derivatives, nonparametric estimation and hypothesis testing for nonlinear pricing kernel, and...

We suggest a method for using nonparametric information to modify a parametric model at a low-order level, retaining information in the model only to enhance the nonparametric approach at relatively high orders. Our technique represents an alternative to methods that rst t a parametric model and then adjust it. In particular, relative to a \nonparametric estimator with a parametric start," our ...

The Finite Sample Performance of Semiand Nonparametric Estimators for Treatment Effects and Policy Evaluation This paper investigates the finite sample performance of a comprehensive set of semiand nonparametric estimators for treatment and policy evaluation. In contrast to previous simulation studies which mostly considered semiparametric approaches relying on parametric propensity score estim...