1 Finance Research Group, Aarhus School of Business, Aarhus BSS, Aarhus University2 Department of Marketing and Statistics, Aarhus School of Business, Aarhus BSS, Aarhus University3 Department of Business Studies, Aarhus School of Business, Aarhus BSS, Aarhus University
In continuous time, diffusion processes have been used for modelling financial dynamics for a long time. For example the Ornstein-Uhlenbeck process (the simplest mean-reverting process) has been used to model non-speculative price processes. We discuss non--parametric estimation of these processes using a wavelet filtration method, specifically the à trous algorithm.
Ornstein-Uhlenbeck process; Cardinal B-splines; Wavelet transform; A trous
Main Research Area:
Computing in Economics and Finance, 7th International Conference, Yale University, 2001