Empirical Characteristic Function Estimation and Its Applications
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Cites work
- A Markov model for switching regressions
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- An efficiency result for the empirical characteristic function in stationary time-series models
- An efficient method for finding the minimum of a function of several variables without calculating derivatives
- An Improved Version of the Quandt-Ramsey MGF Estimator for Mixtures of Normal Distributions and Switching Regressions
- An iterative procedure for the estimation of the parameters of stable laws
- Analysis of time series subject to changes in regime
- Automatic Block-Length Selection for the Dependent Bootstrap
- Blockwise bootstrapped empirical process for stationary sequences
- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
- Estimating Mixtures of Normal Distributions and Switching Regressions
- Estimating mixtures of normal distributions via empirical characteristic function
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of affine asset pricing models using the empirical characteristic function
- Estimation of mixing proportions via distance between characteristic functions
- Generalization of GMM to a continuum of moment conditions
- Handbook of econometrics. Vol. 4
- High-Efficiency Estimation for the Positive Stable Laws
- Large Sample Properties of Generalized Method of Moments Estimators
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- Modified weighted squared error estimation procedures with special emphasis on the stable laws
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- On Some Fourier Methods for Inference
- On the Sufficient Statistics for Stationary Gaussian Random Processes
- Option pricing when underlying stock returns are discontinuous
- Parameter Estimation for Symmetric Stable Distribution
- Regression-Type Estimation of the Parameters of Stable Laws
- Spectral GMM estimation of continuous-time processes
- Statistical analysis of finite mixture distributions
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The empirical characteristic function and its applications
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
- The estimation of the parameters of the stable laws
- The integrated squared error estimation of parameters
- The jackknife and the bootstrap for general stationary observations
- The relative efficiency of method of moments estimators
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(69)- Fourier methods for testing multivariate independence
- A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
- Some sampling properties of empirical characteristic functions viewed as harmonizable stochastic processes
- The indirect continuous-GMM estimation
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- The split-SV model
- Tempered stable Lévy motion driven by stable subordinator
- First passage time of a Lévy degradation model with random effects
- Applications of the characteristic function-based continuum GMM in finance
- Inference procedures for stable-Paretian stochastic volatility models
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Noise-indicator nonnegative integer-valued autoregressive time series of the first order
- Pricing power exchange options with Hawkes jump diffusion processes
- The microstructure of stochastic volatility models with self-exciting jump dynamics
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation
- Moment-type estimation from grouped samples
- Characteristic function-based semiparametric inference for skew-symmetric models
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- Estimation of Characteristic Functions of Functionals of Multidimensional Gaussian Random Variables
- Continuous empirical characteristic function estimation of mixtures of normal parameters
- Rotational invariance of stochastic processes with application to fractional dynamics
- scientific article; zbMATH DE number 3842989 (Why is no real title available?)
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
- Estimating mixtures of normal distributions via empirical characteristic function
- Applications of empirical characteristic functions in some multivariate problems
- scientific article; zbMATH DE number 1301883 (Why is no real title available?)
- Estimating function approach for CHARN models
- Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates
- Identification of linear regressions with errors in all variables
- A reparameterized weighted Lindley distribution: properties, estimation and applications
- Indirect inference for time series using the empirical characteristic function and control variates
- The performance of univariate goodness-of-fit tests for normality based on the empirical characteristic function in large samples
- Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
- A characteristic function-based approach to approximate maximum likelihood estimation
- A note on gamma difference distributions
- Nonparametric two-sample estimation of location and scale parameters from empirical characteristic functions
- Maximum likelihood estimation of stochastic frontier models by the Fourier transform
- Estimation for multivariate stable distributions with generalized empirical likelihood
- Inference for the generalized normal Laplace distribution
- Testing for normality with panel data
- Estimating the codifference function of linear time series models with infinite variance
- Multiple subordinated modeling of asset returns: implications for option pricing
- Estimation of affine asset pricing models using the empirical characteristic function
- On Properties of the MixedTS Distribution and Its Multivariate Extension
- Compound truncated Poisson gamma distribution for understanding multimodal SAR intensities
- Efficient estimation using the characteristic function
- Spline local basis methods for nonparametric density estimation
- Subexponentialiy of densities of infinitely divisible distributions
- Observation-driven filtering of time-varying parameters using moment conditions
- A mutually exciting rough jump-diffusion for financial modelling
- Deep variance gamma processes
- Stationary-increment variance-gamma and \(t\) models: simulation and parameter estimation
- Optimal design approach to GMM estimation of parameters based on empirical transforms
- Average-tempered stable subordinators with applications
- Hedging and utility valuation of a defaultable claim driven by Hawkes processes
- DOA estimation of noncircular signals under impulsive noise using a novel empirical characteristic function-based MUSIC
- Generative Neural Networks for Characteristic Functions
- Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon
- Fitting heavy-tailed distributions to mortality indexes for longevity risk forecasts
- Finite mixture models for option pricing: an application to Bitcoin options
- Two statistical problems for multivariate mixture distributions
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Optimal portfolios with end-of-period target
- Nonparametric probability weighted empirical characteristic function and applications
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
- Methods of characteristic functions in problems of statistical estimation by censored samples
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