Efficient estimation using the characteristic function

DOI10.1017/S0266466616000025zbMATH Open1442.62732OpenAlexW2290925108MaRDI QIDQ61344FDOQ61344

Authors: Marine Carrasco, Rachidi Kotchoni, Marine Carrasco, Rachidi Kotchoni 

Publication date: 22 February 2016

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466616000025

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Mathematics Subject Classification ID

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

Cites Work

• 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
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• Two singular diffusion problems
• Generalization of GMM to a continuum of moment conditions
• Econometric specification of stochastic discount factor models
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• Efficient estimation of general dynamic models with a continuum of moment conditions
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• 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
• Title not available (Why is that?)
• On Properties of the MixedTS Distribution and Its Multivariate Extension
• Underidentification?

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