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The estimators proposed are shown to be consistent and asymptotically normally distributed. Moreover, the Fourier estimator can be iterated to get a fully nonparametric estimate of the diffusion coefficient in a bivariate model in which one state variable is the volatility of the other. The estimators are shown to be unbiased in small samples using Monte Carlo simulations and are used to estimate univariate and bivariate models for interest rates.<\/jats:p>","DOI":"10.1017\/s026646660808047x","type":"journal-article","created":{"date-parts":[[2008,5,14]],"date-time":"2008-05-14T08:22:19Z","timestamp":1210753339000},"page":"1174-1206","source":"Crossref","is-referenced-by-count":49,"title":["NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS"],"prefix":"10.1017","volume":"24","author":[{"given":"Roberto","family":"Ren\u00f2","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2008,5,14]]},"reference":[{"key":"S026646660808047X_ref035","unstructured":"Mancini C. & Ren\u00f2 R. (2006) Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling. 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