An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
From MaRDI portal
Publication:292134
DOI10.1016/j.jeconom.2007.11.002zbMath1418.62285OpenAlexW2147925540MaRDI QIDQ292134
Per Aslak Mykland, Yacine Aït-Sahalia
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.11.002
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Related Items
Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions, Inheritance of strong mixing and weak dependence under renewal sampling, Parameter estimation for rough differential equations, Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
Cites Work
- Unnamed Item
- Causality effects in return volatility measures with random times
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Spectral methods for identifying scalar diffusions
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- Time-reversible diffusions
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals