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Hybrid multi-step estimators for stochastic differential equations based on sampled data
9 references·2 citing·28 second hop
Hybrid multi-step estimators for stochastic differential equations based on sampled data (2014)Hybrid multi-step estimators for stochast…Adaptive estimation of an ergodic diffusion process based on sampled data (2012)Adaptive estimation of an erg…On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…Propriété LAN pour les diffusions ergodiques avec observations discrètes (2002)Propriété LAN pour les diffus…Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach (2001)Local Asymptotic Mixed Normal…Estimation of an Ergodic Diffusion from Discrete Observations (1997)Estimation of an Ergodic Diff…Martingale Estimation Functions for Discretely Observed Diffusion Processes (1995)Martingale Estimation Functio…On the estimation of the diffusion coefficient for multi-dimensional diffusion processes (1993)On the estimation of the diff…Estimation for diffusion processes from discrete observation (1992)Estimation for diffusion proc…Approximate discrete-time schemes for statistics of diffusion processes (1989)Approximate discrete-time sch…Parametric estimation for a parabolic linear SPDE model based on discrete observations (2020)Parametric estimation for a p…On the multi-step MLE-process for ergodic diffusion (2016)On the multi-step MLE-process…Nonparametric estimation of scalar diffusions based on low frequency data (2004)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)The Malliavin Calculus and Related Topics (2006)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)A Theory of the Term Structure of Interest Rates (1985)Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Stochastic Volatility Models as Hidden Markov Models and Statistical Applications (2000)Numerical solution of stochastic differential equations (2016)The Malliavin Calculus and Related Topics (1995)Small-diffusion asymptotics for discretely sampled stochastic differential equations (2003)Estimating functions for diffusion-type processes (2012)Adaptive estimation of continuous-time regression models using high-frequency data (2017)Estimating betas from nonsynchronous data (1977)The Distribution of Realized Exchange Rate Volatility (2001)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Estimating Covariation: Epps Effect, Microstructure Noise (2006)Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Econophysics review: I. Empirical facts (2011)Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013)Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013)Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process (2018)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006)Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2007)Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process (1999)Inference for Continuous Semimartingales Observed at High Frequency (2009)Diffusions with measurement errors. I. Local Asymptotic Normality (2001)
this work references cited by second hop

References

  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 1997Estimation of an Ergodic Diffusion from Discrete Observations370 cited
  • 1995Martingale Estimation Functions for Discretely Observed Diffusion Processes348 cited
  • 1992Estimation for diffusion processes from discrete observation263 cited
  • 1989Approximate discrete-time schemes for statistics of diffusion processes263 cited
  • 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes226 cited
  • 2002Propriété LAN pour les diffusions ergodiques avec observations discrètes119 cited
  • 2012Adaptive estimation of an ergodic diffusion process based on sampled data93 cited
  • 2001Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach84 cited

Cited by

  • 2020Parametric estimation for a parabolic linear SPDE model based on discrete observations23 cited
  • 2016On the multi-step MLE-process for ergodic diffusion22 cited

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