Generalized moment estimation of stochastic differential equations
From MaRDI portal
Publication:311323
DOI10.1007/S00180-015-0598-2zbMATH Open1347.65021OpenAlexW747915568MaRDI QIDQ311323FDOQ311323
Authors: Márcio Poletti Laurini, Luiz Koodi Hotta 
Publication date: 29 September 2016
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-015-0598-2
Recommendations
- GMC/GEL estimation of stochastic volatility models
- Parameter estimation in stochastic differential equations.
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations
- Estimating the parameters of stochastic differential equations
- Generalized moment based estimation and inference
Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Empirical likelihood methods with weakly dependent processes
- Large Sample Properties of Generalized Method of Moments Estimators
- The pricing of options and corporate liabilities
- Simulation and inference for stochastic differential equations. With R examples.
- Econometric specification of stochastic discount factor models
- A theory of the term structure of interest rates
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Title not available (Why is that?)
- Empirical likelihood for linear models
- Empirical likelihood and general estimating equations
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Robustness, infinitesimal neighborhoods, and moment restrictions
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Title not available (Why is that?)
- Information Theoretic Approaches to Inference in Moment Condition Models
- An equilibrium characterization of the term structure
- Point estimation with exponentially tilted empirical likelihood
- Title not available (Why is that?)
- Asymptotic theory of statistics and probability
- Optimum consumption and portfolio rules in a continuous-time model
- Modeling Financial Time Series with S-PLUS®
- Parameter estimation in stochastic differential equations.
- Martingales and arbitrage in multiperiod securities markets
- A general version of the fundamental theorem of asset pricing
- Title not available (Why is that?)
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Martingales and stochastic integrals in the theory of continuous trading
- The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
- Title not available (Why is that?)
- Empirical likelihood methods in econometrics: theory and practice
- Density approximations for multivariate affine jump-diffusion processes
- Handbook of econometrics. Vol. 4
- Title not available (Why is that?)
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Methods for estimation in inference in modern econometrics.
- Approximate Integration of Stochastic Differential Equations
- GMM, GEL, Serial Correlation, and Asymptotic Bias
- The implied liquidity premium for equities
- Polynomial processes and their applications to mathematical finance
Cited In (7)
- Closed-form formula for conditional moments of generalized nonlinear drift CEV process
- GMC/GEL estimation of stochastic volatility models
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
- Factorial moment espansion for stochastic systems
- Generalized moment based estimation and inference
- Title not available (Why is that?)
- Generalized moment estimation for uncertain differential equations
Uses Software
This page was built for publication: Generalized moment estimation of stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q311323)
