Generalized moment estimation of stochastic differential equations
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Cites work
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- scientific article; zbMATH DE number 857931 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A general version of the fundamental theorem of asset pricing
- A theory of the term structure of interest rates
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- An equilibrium characterization of the term structure
- Approximate Integration of Stochastic Differential Equations
- Asymptotic theory of statistics and probability
- Density approximations for multivariate affine jump-diffusion processes
- Econometric specification of stochastic discount factor models
- Empirical likelihood and general estimating equations
- Empirical likelihood for linear models
- Empirical likelihood methods in econometrics: theory and practice
- Empirical likelihood methods with weakly dependent processes
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- GMM, GEL, Serial Correlation, and Asymptotic Bias
- Handbook of econometrics. Vol. 4
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Information Theoretic Approaches to Inference in Moment Condition Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Methods for estimation in inference in modern econometrics.
- Modeling Financial Time Series with S-PLUS®
- Optimum consumption and portfolio rules in a continuous-time model
- Parameter estimation in stochastic differential equations.
- Point estimation with exponentially tilted empirical likelihood
- Polynomial processes and their applications to mathematical finance
- Robustness, infinitesimal neighborhoods, and moment restrictions
- Simulation and inference for stochastic differential equations. With R examples.
- The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
- The implied liquidity premium for equities
- The pricing of options and corporate liabilities
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
- scientific article; zbMATH DE number 2169033 (Why is no real title available?)
- Generalized moment estimation for uncertain differential equations
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