Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
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- scientific article; zbMATH DE number 1204371
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- A Semiparametric Maximum Likelihood Estimator
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- An equilibrium characterization of the term structure
- Arbitrage Theory in Continuous Time
- Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Bootstrap specification tests for diffusion processes
- Consistent Nonparametric Entropy-Based Testing
- Data-driven bandwidth choice for density estimation based on dependent data
- Efficient Estimation of Semiparametric Multivariate Copula Models
- Efficient estimation in the bivariate normal copula model: Normal margins are least favourable
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Estimation of partial differential equations with applications in finance
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Linear second-order partial differential equations of the parabolic type
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Nonlinear principal components and long-run implications of multivariate diffusions
- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric estimation of scalar diffusions based on low frequency data
- Nonparametric transition-based tests for jump diffusions
- On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
- On the central limit theorem for \(U\)-statistics under absolute regularity
- Optimal bandwidth choice for density-weighted averages
- Root-N-Consistent Semiparametric Regression
- Semiparametric Estimation of Index Coefficients
- Semiparametric efficiency bounds
- Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
- Simulated Non-Parametric Estimation of Dynamic Models
- Spectral methods for identifying scalar diffusions
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Tests of specification for parametric and semiparametric models
- The functional central limit theorem for strongly mixing processes
- Truncated dynamics and estimation of diffusion equations
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
Cited in
(19)- Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Semiparametric estimation of dynamic discrete choice models
- Diffusion copulas: identification and estimation
- Maximum smoothed likelihood estimation for a class of semiparametric Pareto mixture densities
- Pseudo maximum likelihood estimation of the univariate GARCH(2,2) and asymptotic normality under dependent innovations
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- A martingale approach for testing diffusion models based on infinitesimal operator
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Estimation of semiparametric locally stationary diffusion models
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
- Variable bandwidth local maximum likelihood type estimation for diffusion processes
- Estimation of stochastic volatility models by nonparametric filtering
- Strong consistency estimators of the Brennan-Schwartz diffusion process based on martingales approach
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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