Notes on financial econometrics
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Cites work
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Estimating stochastic differential equations efficiently by minimum chi-squared
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimation of stochastic volatility models with diagnostics
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Nonparametric Pricing of Interest Rate Derivative Securities
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Simulated Moments Estimation of Markov Models of Asset Prices
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(9)- Notation in econometrics: a proposal for a standard
- Simulation-based estimation methods for financial time series models
- The past and future of empirical finance: some personal comments
- A mean reverting process for pricing treasury bills and futures contracts
- Statistics in finance
- On some classes of continuous time series models and their use in financial economics.
- Financial econometrics: Past developments and future challenges
- Portfolio choice with endogenous utility: a large deviations approach.
- Financial risk modelling and econometric inference
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