Spectral GMM estimation of continuous-time processes (Q1398981): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Set OpenAlex properties.
 
(3 intermediate revisions by 3 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: bootstrap / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of general dynamic models with a continuum of moment conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Alternative models for stock price dynamics. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility in asset prices. Estimation with simulated maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact solutions for bond and option prices with systematic jump risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4318617 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: An efficiency result for the empirical characteristic function in stationary time-series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Some Fourier Methods for Inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3902322 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stochastic volatility models with diagnostics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4003764 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Sample Properties of Generalized Method of Moments Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Variance Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4039796 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Perturbation methods in applied mathematics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH models as diffusion approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4086554 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of affine asset pricing models using the empirical characteristic function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/s0304-4076(03)00109-x / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3123805721 / rank
 
Normal rank

Latest revision as of 09:33, 30 July 2024

scientific article
Language Label Description Also known as
English
Spectral GMM estimation of continuous-time processes
scientific article

    Statements

    Spectral GMM estimation of continuous-time processes (English)
    0 references
    0 references
    0 references
    7 August 2003
    0 references
    continuous-time estimation
    0 references
    characteristic function
    0 references
    GMM
    0 references
    spectral GMM
    0 references
    stochastic volatility
    0 references
    jump-diffusion process
    0 references
    affine models
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references