Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions

DOI10.2307/2669598MaRDI QIDQ3839571zbMATH OpenOpenAlexFDO

Authors A. Ronald Gallant, George Tauchen

Publication date 5 September 1999

Full work available at URL https://doi.org/10.2307/2669598

zbMATH Keywords

efficient method of momentsnonlinear dynamic modelspartially observed statestochastic differential equations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Estimation and detection in stochastic control theory (93E10)

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• Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach
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• A unified approach to validating univariate and multivariate conditional distribution models in time series
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• Simulation-based estimation methods for financial time series models
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• Efficient estimation of general dynamic models with a continuum of moment conditions
• An econometric model of the term structure of interest rates under regime-switching risk
• Hermite polynomial based expansion of European option prices
• Asymptotically distribution-free tests for the volatility function of a diffusion
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• Stochastic Volatility Models Predictive Relevance for Equity Markets
• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
• Multivariate Stochastic Volatility: A Review
• Time-varying correlations in multivariate unobserved components time series models
• Estimation and specification test for diffusion models with stochastic volatility
• A comparative review of specification tests for diffusion models
• Integrated variance forecasting: model based vs. reduced form
• Generalized spectral testing for multivariate continuous-time models
• A simple measure for examining the proxy problem of the short-rate
• A filtering approach to tracking volatility from prices observed at random times
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets
• Approximating volatility diffusions with CEV-ARCH models
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach

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