EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
From MaRDI portal
Publication:4807306
DOI10.1017/S026646660218306XzbMath1109.62337MaRDI QIDQ4807306
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G30: Order statistics; empirical distribution functions
62M15: Inference from stochastic processes and spectral analysis
65C05: Monte Carlo methods
Related Items
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS, Indirect inference for time series using the empirical characteristic function and control variates, Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes, Inference for the Generalized Normal Laplace Distribution, Testing for normality with panel data, GMM estimation of a realized stochastic volatility model: A Monte Carlo study, ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH, Maximum likelihood estimation of stochastic frontier models by the Fourier transform, Realized Laplace transforms for estimation of jump diffusive volatility models, Option pricing for pure jump processes with Markov switching compensators, Spectral analysis for intrinsic time processes, The indirect continuous-GMM estimation, Reducing the computational cost of the ECF using a nuFFT: a fast and objective probability density estimation method, Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models, The split-SV model, Fourier inference for stochastic volatility models with heavy-tailed innovations, Robust and consistent estimation of nonlinear errors-in-variables models, Applications of the characteristic function-based continuum GMM in finance, Inference procedures for stable-Paretian stochastic volatility models, Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations, Noise-indicator nonnegative integer-valued autoregressive time series of the first order, The compound truncated Poisson Cauchy model: a descriptor for multimodal data, Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes, Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters, Empirical Characteristic Function Estimation and Its Applications, Estimation of the stochastic conditional duration model via alternative methods, An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
Uses Software
