Efficient estimation using the characteristic function
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Cites work
- scientific article; zbMATH DE number 3900015 (Why is no real title available?)
- scientific article; zbMATH DE number 3930130 (Why is no real title available?)
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 3711181 (Why is no real title available?)
- scientific article; zbMATH DE number 3757516 (Why is no real title available?)
- scientific article; zbMATH DE number 718799 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- Choosing the Number of Instruments
- Econometric specification of stochastic discount factor models
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- Efficient estimation of general dynamic models with a continuum of moment conditions
- Empirical Characteristic Function Estimation and Its Applications
- Estimation of affine asset pricing models using the empirical characteristic function
- Generalization of GMM to a continuum of moment conditions
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Large Sample Properties of Generalized Method of Moments Estimators
- Linear Regression Limit Theory for Nonstationary Panel Data
- On Some Fourier Methods for Inference
- Optimal bandwidth choice for estimation of inverse conditional-density-weighted expectations
- Regression-Type Estimation of the Parameters of Stable Laws
- Simulated Moments Estimation of Markov Models of Asset Prices
- Spectral GMM estimation of continuous-time processes
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- The Bias of Instrumental Variable Estimators
- The empirical characteristic function and its applications
- The estimation of the parameters of the stable laws
- The second-order bias and mean squared error of nonlinear estimators
- Two singular diffusion problems
Cited in
(14)- Estimating function approach for CHARN models
- scientific article; zbMATH DE number 1301883 (Why is no real title available?)
- Identification of linear regressions with errors in all variables
- Indirect inference for time series using the empirical characteristic function and control variates
- Estimating permanent price impact via machine learning
- On Properties of the MixedTS Distribution and Its Multivariate Extension
- CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
- TempStable
- Applications of the characteristic function-based continuum GMM in finance
- Underidentification?
- Parametric estimation of tempered stable laws
- Specification testing with estimated variables
- Multiple subordinated modeling of asset returns: implications for option pricing
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
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