EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20)

Cites Work

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Large Sample Properties of Generalized Method of Moments Estimators
The second-order bias and mean squared error of nonlinear estimators
The empirical characteristic function and its applications
Spectral GMM estimation of continuous-time processes
Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
Two singular diffusion problems
Generalization of GMM to a continuum of moment conditions
Econometric specification of stochastic discount factor models
A theory of the term structure of interest rates
Simulated Moments Estimation of Markov Models of Asset Prices
Empirical Characteristic Function Estimation and Its Applications
The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
Regression-Type Estimation of the Parameters of Stable Laws
On Some Fourier Methods for Inference
The Bias of Instrumental Variable Estimators
The estimation of the parameters of the stable laws
Efficient estimation of general dynamic models with a continuum of moment conditions
Linear Regression Limit Theory for Nonstationary Panel Data
Choosing the Number of Instruments
OPTIMAL BANDWIDTH CHOICE FOR ESTIMATION OF INVERSE CONDITIONAL–DENSITY–WEIGHTED EXPECTATIONS
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
Estimation of affine asset pricing models using the empirical characteristic function

Cited In (14)

Specification testing with estimated variables
Multiple subordinated modeling of asset returns: Implications for option pricing
Indirect inference for time series using the empirical characteristic function and control variates
Applications of the characteristic function-based continuum GMM in finance
IDENTIFICATION OF LINEAR REGRESSIONS WITH ERRORS IN ALL VARIABLES
CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
Estimating function approach for CHARN models
Parametric estimation of tempered stable laws
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
TempStable
Estimating permanent price impact via machine learning
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On Properties of the MixedTS Distribution and Its Multivariate Extension
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