Pages that link to "Item:Q1398981"

The following pages link to Spectral GMM estimation of continuous-time processes (Q1398981):

Displaying 50 items.

• EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION (Q61344) (← links)
• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• A simple approach to the parametric estimation of potentially nonstationary diffusions (Q276917) (← links)
• Efficient estimation of general dynamic models with a continuum of moment conditions (Q451261) (← links)
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
• Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models (Q530607) (← links)
• Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
• American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
• New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
• Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions (Q929715) (← links)
• Empirical likelihood estimation of discretely sampled processes of OU type (Q1041558) (← links)
• The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
• Alternative models for stock price dynamics. (Q1398979) (← links)
• On the functional estimation of jump-diffusion models. (Q1398983) (← links)
• Empirical reverse engineering of the pricing kernel. (Q1398984) (← links)
• Exact and approximate solutions for options with time-dependent stochastic volatility (Q1630713) (← links)
• Dynamic derivative strategies with stochastic interest rates and model uncertainty (Q1657151) (← links)
• Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects (Q1739883) (← links)
• Testing for jumps and jump intensity path dependence (Q1753059) (← links)
• Financial econometrics: Past developments and future challenges (Q1841086) (← links)
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← links)
• Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
• A spectral estimation of tempered stable stochastic volatility models and option pricing (Q1927145) (← links)
• Parameter estimation and model testing for Markov processes via conditional characteristic functions (Q1940757) (← links)
• Option pricing with discrete time jump processes (Q1994170) (← links)
• Efficient estimation and filtering for multivariate jump-diffusions (Q2024483) (← links)
• Option replication with transaction cost under Knightian uncertainty (Q2066047) (← links)
• Dynamic asset allocation with relative wealth concerns in incomplete markets (Q2181530) (← links)
• A note on Bayesian identification of change points in data sequences (Q2384592) (← links)
• A new approach for option pricing under stochastic volatility (Q2425553) (← links)
• On the characteristic function for asymmetric Student \(t\) distributions (Q2451413) (← links)
• Closed-form formulae for European options under three-factor models (Q2660490) (← links)
• A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
• A triple-threshold leverage stochastic volatility model (Q2687884) (← links)
• ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING (Q2826006) (← links)
• General approximation schemes for option prices in stochastic volatility models (Q2869978) (← links)
• ECF estimation of Markov models where the transition density is unknown (Q3004024) (← links)
• A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps (Q3004475) (← links)
• Empirical Characteristic Function Estimation and Its Applications (Q3157837) (← links)
• TESTING FOR THE MARKOV PROPERTY IN TIME SERIES (Q3224040) (← links)
• CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION (Q3580636) (← links)
• (Q4259411) (← links)
• Optimal investment under multi-factor stochastic volatility (Q4555076) (← links)
• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
• Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
• Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect (Q5078025) (← links)
• International portfolio choice under multi-factor stochastic volatility (Q5079408) (← links)