Applications of the characteristic function-based continuum GMM in finance
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Publication:1927140
Characteristic functions; other transforms (60E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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Cites work
- scientific article; zbMATH DE number 3828921 (Why is no real title available?)
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 3711181 (Why is no real title available?)
- scientific article; zbMATH DE number 3757516 (Why is no real title available?)
- scientific article; zbMATH DE number 1301891 (Why is no real title available?)
- scientific article; zbMATH DE number 718799 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A parametric bootstrap for heavy-tailed distributions
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- An efficiency result for the empirical characteristic function in stationary time-series models
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Efficient estimation using the characteristic function
- Empirical Characteristic Function Estimation and Its Applications
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of affine asset pricing models using the empirical characteristic function
- Estimation of stable distributions by indirect inference
- Generalization of GMM to a continuum of moment conditions
- Generalized autoregressive conditional heteroscedasticity
- Intermediate Probability
- Intradaily dynamic portfolio selection
- Large Sample Properties of Generalized Method of Moments Estimators
- Maximum likelihood estimation of stable Paretian models.
- Numerical calculation of stable densities and distribution functions
- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
- Regression-Type Estimation of the Parameters of Stable Laws
- Simple consistent estimators of stable distribution parameters
- Spectral GMM estimation of continuous-time processes
- Stock price distributions with stochastic volatility: an analytic approach
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- The Variance Gamma Process and Option Pricing
- The Wishart autoregressive process of multivariate stochastic volatility
- The estimation of the parameters of the stable laws
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
- Two singular diffusion problems
Cited in
(6)- On Properties of the MixedTS Distribution and Its Multivariate Extension
- The indirect continuous-GMM estimation
- Indirect inference for time series using the empirical characteristic function and control variates
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- Observation-driven filtering of time-varying parameters using moment conditions
- The split-SV model
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