Spectral GMM estimation of continuous-time processes

DOI10.1016/S0304-4076(03)00109-XzbMath1026.62085OpenAlexW3123805721MaRDI QIDQ1398981

Luis M. Viceira, George Chacko

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00109-x

zbMATH Keywords

stochastic volatilitycharacteristic functionGMMjump-diffusion processaffine modelscontinuous-time estimationspectral GMM

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05)

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Uses Software

• bootstrap

Cites Work

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