2 papers
q-fin.ST2020
A geometric analysis of nonlinear dynamics and its application to financial time series
Isao Shoji, Masahiro Nozawa
A geometric method to analyze nonlinear oscillations is discussed. We consider a nonlinear oscillation modeled by a second order ordinary differential equation without specifying t…
math.ST2006
Semiparametric estimation of volatility functions of diffusion processes from discretely observed data
I. Shoji
This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assumi…