Estimation for discretely observed diffusions using transform functions
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- A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
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- Encompassing and indirect inference
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- Estimation of an Ergodic Diffusion from Discrete Observations
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- Large Sample Properties of Generalized Method of Moments Estimators
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Martingale estimation functions for discretely observed diffusion processes
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- Stochastic volatility models as hidden Markov models and statistical applications
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Cited in
(9)- Empirical evidence on Student-t log-returns of diversified world stock indices
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Intraday empirical analysis and modeling of diversified world stock indices
- Bayesian consistency for Markov models
- Parametric estimation from approximate data: non-Gaussian diffusions
- A transformation approach to modelling multi-modal diffusions
- Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
- Quasi-maximum likelihood estimation of multivariate diffusions
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