Parameter Estimation for a Discretely Observed Integrated Diffusion Process
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Cites work
- Approximate discrete-time schemes for statistics of diffusion processes
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimation of an Ergodic Diffusion from Discrete Observations
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3733065 (Why is no real title available?)
- Inference for Observations of Integrated Diffusion Processes
- Prediction-based estimating functions
- Processes of normal inverse Gaussian type
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- Simplified estimating functions for diffusion models with a high-dimensional parameter
- Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
Cited in
(50)- Nonparametric adaptive estimation for integrated diffusions
- Parametric estimation for partially hidden diffusion processes sampled at discrete times
- Drift estimation of a certain class of diffusion processes from discrete observation
- Re-weighted functional estimation of second-order diffusion processes
- Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
- Adaptive estimation for degenerate diffusion processes
- Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
- Diffusion process with evolution and its parameter estimation
- Adaptive estimation for stochastic damping Hamiltonian systems under partial observation
- A test for the rank of the volatility process: the random perturbation approach
- Efficient estimation of drift parameters in stochastic volatility models
- Estimating functions for noisy observations of ergodic diffusions
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- Minimum contrast estimation for discretely observed diffusion processes with small dispersion parameter
- Nonparametric estimation of second-order stochastic differential equations
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term
- Bias correction estimation for a continuous-time asset return model with jumps
- scientific article; zbMATH DE number 7228912 (Why is no real title available?)
- scientific article; zbMATH DE number 679926 (Why is no real title available?)
- A contrast estimator for completely or partially observed hypoelliptic diffusion
- scientific article; zbMATH DE number 2069491 (Why is no real title available?)
- Parameter estimation for a class of diffusion process from discrete observation
- Adaptive nonparametric drift estimation of an integrated jump diffusion process
- Inference for Observations of Integrated Diffusion Processes
- scientific article; zbMATH DE number 810984 (Why is no real title available?)
- Predicting integrals of diffusion processes with unknown diffusion parameters
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
- Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
- Empirical‐process‐based specification tests for diffusion models
- Test for parameter change in discretely observed diffusion processes
- Prediction-based estimating functions: review and new developments
- Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
- Strong consistency of nonparametric kernel estimators for integrated diffusion process
- Non-adaptive estimation for degenerate diffusion processes
- Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
- Maximally predictive states: from partial observations to long timescales
- Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
- Contrast estimation of the Vasicek integrated diffusion process for high-frequency data
- Berry-Esseen bounds of asymptotic normality of kernel density estimator for long-span high-frequency data with α -mixing
- Strang splitting for parametric inference in second-order stochastic differential equations
- Estimation of diffusion parameters for discretely observed diffusion processes
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Modeling financial time series through second-order stochastic differential equations
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