Estimation of affine asset pricing models using the empirical characteristic function (Q5939360): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Post-'87 crash fears in the S\&P 500 futures option market / 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: Spectral GMM estimation of continuous-time processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / 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: Simulated Moments Estimation of Markov Models of Asset Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: A test of separate families of distributions based on the empirical moment generating function / 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: Estimating stochastic differential equations efficiently by minimum chi-squared / 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: A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: A TEST OF GOODNESS OF FIT FOR SYMMETRIC RANDOM VARIABLES<sup>1</sup> / 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: Q5598785 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of Estimates Using the Empirical Characteristic Function / rank
 
Normal rank
Property / cites work
 
Property / cites work: The estimation of the parameters of the stable laws / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4834284 / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stochastic volatility models via Monte Carlo maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Improved Version of the Quandt-Ramsey MGF Estimator for Mixtures of Normal Distributions and Switching Regressions / rank
 
Normal rank

Latest revision as of 18:56, 3 June 2024

scientific article; zbMATH DE number 1625741
Language Label Description Also known as
English
Estimation of affine asset pricing models using the empirical characteristic function
scientific article; zbMATH DE number 1625741

    Statements

    Estimation of affine asset pricing models using the empirical characteristic function (English)
    0 references
    5 December 2001
    0 references
    affine asset pricing
    0 references
    efficient estimation
    0 references
    empirical characteristic function
    0 references
    conditional characteristic function
    0 references
    affine diffusion
    0 references
    0 references
    0 references
    0 references

    Identifiers