Efficient estimation of general dynamic models with a continuum of moment conditions
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- scientific article; zbMATH DE number 3711181 (Why is no real title available?)
- scientific article; zbMATH DE number 774870 (Why is no real title available?)
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- scientific article; zbMATH DE number 3400255 (Why is no real title available?)
- A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
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- Choosing the Number of Instruments
- Estimating stochastic differential equations efficiently by minimum chi-squared
- Estimation of affine asset pricing models using the empirical characteristic function
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- Generalization of GMM to a continuum of moment conditions
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- Matrix Analysis
- Nonparametric instrumental regression
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- On the asymptotic efficiency of GMM
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Simulated Moments Estimation of Markov Models of Asset Prices
- Simulated Non-Parametric Estimation of Dynamic Models
- Spectral GMM estimation of continuous-time processes
Cited in
(65)- Efficient estimation using the characteristic function
- On Properties of the MixedTS Distribution and Its Multivariate Extension
- Semiparametric efficiency bound in time-series models for conditional quantiles
- On the asymptotic efficiency of GMM
- Estimation of time series models using residuals dependence measures
- Frontiers of financial econometrics and financial engineering. Papers of a conference, Durham. NC, USA
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- Semiparametric estimation of the bid-ask spread in extended roll models
- Convergence rate of the kernel regression estimator for associated and truncated data
- Nonparametric density estimation for positive time series
- Testing distributional assumptions using a continuum of moments
- The indirect continuous-GMM estimation
- Some remarks on CCP-based estimators of dynamic models
- Generalization of GMM to a continuum of moment conditions
- Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
- Indirect inference for time series using the empirical characteristic function and control variates
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Option pricing for pure jump processes with Markov switching compensators
- Non-parametric estimation of reciprocal coordinate subtangent for right censored dependent scheme
- International portfolio choice under multi-factor stochastic volatility
- Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
- A spectral estimation of tempered stable stochastic volatility models and option pricing
- Applications of the characteristic function-based continuum GMM in finance
- Estimation of the stochastic conditional duration model via alternative methods
- CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
- The ABC of simulation estimation with auxiliary statistics
- CUE with many weak instruments and nearly singular design
- Density and hazard rate estimation for censored and α-mixing data using gamma kernels
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- Wavelet instruments for efficiency gains in generalized method of moment models
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Generalized spectral testing for multivariate continuous-time models
- Efficient simulation-based minimum distance estimation and indirect inference
- Volatility activity: specification and estimation
- Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Regularized LIML for many instruments
- Nonparametric estimation of the residual entropy function with censored dependent data
- Estimation of stable distributions by indirect inference
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- High-Dimensional Mixed-Frequency IV Regression
- Some contributions to efficient statistics in structural models: Specification and estimation of moment structures
- Consistent estimation in regression models for the drift function in some continuous time models
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- Parametric estimation of tempered stable laws
- On the identification of models with conditional characteristic functions
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- Bootstrapping Laplace transforms of volatility
- Riding on the smiles
- Parameter estimation and model testing for Markov processes via conditional characteristic functions
- Optimal investment under multi-factor stochastic volatility
- Simulated likelihood estimators for discretely observed jump-diffusions
- Specification testing in nonparametric AR‐ARCH models
- A regularization approach to the many instruments problem
- Inference based on adaptive grid selection of probability transforms
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Structural VAR models in the frequency domain
- The leverage effect puzzle revisited: identification in discrete time
- Estimating option pricing models using a characteristic function-based linear state space representation
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Spectral GMM estimation of continuous-time processes
- Regularized estimation of dynamic panel models
- Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
- Local GMM estimation of time series models with conditional moment restrictions
- Underidentification?
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