对于金融资产漂移函数估计的双域组合方法

数学季刊 ›› 2011, Vol. 26 ›› Issue (2): 190-195.

对于金融资产漂移函数估计的双域组合方法

1. School of Science and Physics, Kaili University2. College of Mathematics, Hefei University of Technology

收稿日期:2008-05-02 出版日期:2011-06-30 发布日期:2023-04-26
作者简介:YE Xu-guo(1982-), male, native of Huoqiu, Anhui, an assistant of Kaili University, M.S.D., engages in applied statistics and risk decision, ﬁnancial econometrics.
基金资助:
Supported by the Natural Science Research Foundation of Education Department of Guizhou Province(20090080,2010076)； Supported by the Project of Kaili University(Z1004)； Supported by the Key Discipline Construction Program of Kaili University(KZD2009001)；

The Integration of Dual-domain Method for Estimating the Drift Function of Financial Assets

Received:2008-05-02 Online:2011-06-30 Published:2023-04-26
About author:YE Xu-guo(1982-), male, native of Huoqiu, Anhui, an assistant of Kaili University, M.S.D., engages in applied statistics and risk decision, ﬁnancial econometrics.
Supported by:
Supported by the Natural Science Research Foundation of Education Department of Guizhou Province(20090080,2010076)； Supported by the Project of Kaili University(Z1004)； Supported by the Key Discipline Construction Program of Kaili University(KZD2009001)；

摘要/Abstract

摘要： Time-domain state-domain methods are common approaches in modern financial analysis. Economic conditions vary time, drift function depends on time and price level for a given state variable. In this paper, to consistently estimate the bivariate drift function, our purpose a new dynamic integrated estimator by combing time-and state-domain methods for estimating drift function. And we establish its asymptotic properties and illustrates it outperforms some old ones by simulations.

关键词: time-domain, state-domain, integrated estimator, drift function

Abstract: Time-domain state-domain methods are common approaches in modern financial analysis. Economic conditions vary time, drift function depends on time and price level for a given state variable. In this paper, to consistently estimate the bivariate drift function, our purpose a new dynamic integrated estimator by combing time-and state-domain methods for estimating drift function. And we establish its asymptotic properties and illustrates it outperforms some old ones by simulations.

Key words: time-domain, state-domain, integrated estimator, drift function

中图分类号:

O211.6

叶绪国, 杜雪樵. 对于金融资产漂移函数估计的双域组合方法[J]. 数学季刊, 2011, 26(2): 190-195.

YE Xu-guo, DU Xue-qiao. The Integration of Dual-domain Method for Estimating the Drift Function of Financial Assets [J]. Chinese Quarterly Journal of Mathematics, 2011, 26(2): 190-195.

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