Estimation of affine asset pricing models using the empirical characteristic function

DOI10.1016/S0304-4076(00)00092-0zbMath0973.62096MaRDI QIDQ5939360

Kenneth J. Singleton

Publication date: 5 December 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

empirical characteristic functionefficient estimationaffine asset pricingaffine diffusionconditional characteristic function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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