Applications of the characteristic function-based continuum GMM in finance (Q1927140): Difference between revisions

@@ Property / describes a project that uses @@
+STABLE
@@ Property / describes a project that uses: STABLE / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2010.08.011
+Normal rank
@@ Property / OpenAlex ID @@
+W3121999338
@@ Property / OpenAlex ID: W3121999338 / rank @@
+Normal rank
@@ Property / cites work @@
+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Intradaily dynamic portfolio selection
@@ Property / cites work: Intradaily dynamic portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Efficient estimation of general dynamic models with a continuum of moment conditions
+Normal rank
@@ Property / cites work @@
+GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
+Normal rank
@@ Property / cites work @@
+EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
+Normal rank
@@ Property / cites work @@
+Spectral GMM estimation of continuous-time processes
+Normal rank
@@ Property / cites work @@
+A Method for Simulating Stable Random Variables
@@ Property / cites work: A Method for Simulating Stable Random Variables / rank @@
+Normal rank
@@ Property / cites work @@
+A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+An efficiency result for the empirical characteristic function in stationary time-series models
+Normal rank
@@ Property / cites work @@
+Q3940660
@@ Property / cites work: Q3940660 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3902322
@@ Property / cites work: Q3902322 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of stable distributions by indirect inference
+Normal rank
@@ Property / cites work @@
+The Wishart autoregressive process of multivariate stochastic volatility
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Asymptotic error distributions for the Euler method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
+Normal rank
@@ Property / cites work @@
+Theory &amp; Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
+Normal rank
@@ Property / cites work @@
+EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
+Normal rank
@@ Property / cites work @@
+Regression-Type Estimation of the Parameters of Stable Laws
+Normal rank
@@ Property / cites work @@
+Q4320778
@@ Property / cites work: Q4320778 / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Simple consistent estimators of stable distribution parameters
+Normal rank
@@ Property / cites work @@
+Q4247118
@@ Property / cites work: Q4247118 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of stable Paretian models.
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+Numerical calculation of stable densities and distribution functions
+Normal rank
@@ Property / cites work @@
+Intermediate Probability
@@ Property / cites work: Intermediate Probability / rank @@
+Normal rank
@@ Property / cites work @@
+The estimation of the parameters of the stable laws
+Normal rank
@@ Property / cites work @@
+Estimation in Univariate and Multivariate Stable Distributions
+Normal rank
@@ Property / cites work @@
+Estimation of affine asset pricing models using the empirical characteristic function
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
+Normal rank
@@ Property / cites work @@
+Empirical Characteristic Function Estimation and Its Applications
+Normal rank
@@ Property / cites work @@
+A class of nonlinear stochastic volatility models and its implications for pricing currency options
+Normal rank
@@ Property / cites work @@
+Q3673748
@@ Property / cites work: Q3673748 / rank @@
+Normal rank