The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions

DOI10.2307/2171886zbMATH Open1130.60303OpenAlexW1987682037MaRDI QIDQ4359772FDOQ4359772

Authors: Karim M. Abadir, M. Rockinger 

Publication date: 20 October 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171886

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Cited In (3)

• The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending
• Nonparametric estimation of American options' exercise boundaries and call prices
• Estimation of risk-neutral densities using positive convolution approximation

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