Notes on financial econometrics (Q1841088)

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Language	Label	Description	Also known as
English	Notes on financial econometrics	scientific article

Statements

scholarly article

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Notes on financial econometrics (English)

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Journal of Econometrics

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publication date

5 June 2001

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zbMATH Keywords

price dynamics

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discrete time financial data

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stochastic volatility

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continuous time models

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MaRDI profile type

MaRDI publication profile

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Nonparametric Pricing of Interest Rate Derivative Securities

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Estimating continuous-time stochastic volatility models of the short-term interest rate

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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Simulated Moments Estimation of Markov Models of Asset Prices

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Likelihood Inference for Discretely Observed Nonlinear Diffusions

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Estimation of stochastic volatility models with diagnostics

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Estimating stochastic differential equations efficiently by minimum chi-squared

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Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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Identifiers

zbMATH Open document ID

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10.1016/S0304-4076(00)00054-3

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1841088

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