Reference health
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
1 of 37 checkable references need attention · checked 2026-07-25
At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.
10 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
References needing attention
does not resolve to a known work10.1007/978-1-4899-3324-9
The 36 checked references that resolve
resolves10.1111/j.1540-6261.1997.tb02748.x
A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk
resolves10.1111/j.1540-6261.1992.tb04011.x
An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
resolves10.1016/S0165-1765(01)00572-9
On measuring volatility of diffusion processes with high frequency data
resolves10.1214/088342305000000412
A Selective Overview of Nonparametric Methods in Financial Econometrics
resolves10.1198/016214503388619157
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
resolves10.1093/rfs/hhi016
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
resolves10.1016/j.jempfin.2006.12.005
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
resolves10.1111/1467-9868.00336
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
resolves10.1111/j.1540-6261.1987.tb02568.x
The Pricing of Options on Assets with Stochastic Volatilities
resolves10.1017/S0266466600006101
A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model
resolves10.1046/j.0305-9049.2003.00086.x
Choosing the Best Volatility Models: The Model Confidence Set Approach*
resolves10.1093/rfs/12.4.763
Using Proxies for the Short Rate: When are Three Months Like an Instant?
resolves10.2307/2331128
Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities
resolves10.1111/j.1468-0300.2006.00169.x
A Comparison of Alternative Non‐parametric Estimators of the Short Rate Diffusion Coefficient
resolves10.1093/jjfinec/nbh010
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
The 10 references without a DOI — listed, not checked
no DOI — not checkedMancini C. & Renò R. (2006) Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling. Manuscript, University of Florence and University of Siena.
no DOI — not checkedStochastic Calculus of Variations in Mathematical Finance
no DOI — not checkedLecture Notes in Mathematics
no DOI — not checkedSeminaire de Probabilites Strasbourg XV
no DOI — not checkedAndersen T. , Benzoni L. , & Lund J. (2004) Stochastic Volatility, Mean Drift and Jumps in the Short-Term Interest Rate. Working paper, Northwestern University.
no DOI — not checkedSpectral Time Series Analysis
no DOI — not checkedContinuous Martingales and Brownian Motion
no DOI — not checkedAndersen T. , Bollerslev T. , & Diebold F.X. (2003) Parametric and Nonparametric Volatility Measurement. Working paper. Forthcoming in L.P. Hansen & Y. Aït-Sahalia (eds.), Handbook of Financial Econometrics. North-Holland.
no DOI — not checkedBandi F. & Moloche G. (2004) On the Functional Estimation of Multivariate Diffusion Processes. Working paper, University of Chicago and MIT.
no DOI — not checkedThe quadratic variation of a function and its Fourier coefficients
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