Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
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Publication:530941
DOI10.1016/J.JECONOM.2009.10.017zbMATH Open1431.62342OpenAlexW2162514076MaRDI QIDQ530941FDOQ530941
Authors: Dennis Kristensen 
Publication date: 1 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.017
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- scientific article; zbMATH DE number 1204371
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20)
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Cited In (19)
- Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Semiparametric estimation of dynamic discrete choice models
- Pseudo maximum likelihood estimation of the univariate GARCH(2,2) and asymptotic normality under dependent innovations
- Diffusion copulas: identification and estimation
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- Strong consistency estimators of the Brennan-Schwartz diffusion process based on martingales approach
- Estimation of stochastic volatility models by nonparametric filtering
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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