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Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
10 references·1 citing·31 second hop
Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion (2002)Computational Aspects Related to Martinga…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality (2001)Discretely Observed Diffusion…Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process (2000)Simple and Explicit Estimatin…Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process (1999)Estimating Equations Based on…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…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…A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations (1993)A New Approach to Maximum Lik…Approximate discrete-time schemes for statistics of diffusion processes (1989)Approximate discrete-time sch…Stochastic Differential Equations (1975)Stochastic Differential Equat…Estimating functions for diffusion-type processes (2012)Estimating functions for diff…A Theory of the Term Structure of Interest Rates (1985)Hyperbolic Processes in Finance (2003)Continuous Time Wishart Process for Stochastic Risk (2006)The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008)Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1993)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview (2005)Efficient Estimation for Ergodic Diffusions Sampled at High Frequency (2008)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 Pricing of Options and Corporate Liabilities (1973)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Brownian Motion and Stochastic Calculus (2007)Modeling financial contagion using mutually exciting jump processes (2015)Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)On Equilibrium Asset Price Processes (1993)Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics (1996)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Estimation for diffusion processes from discrete observation (1992)Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006)Estimating Functions for Discretely Observed Diffusions: A Review (1997)Parameter Estimation for Discretely Observed Stochastic Volatility Models (1999)Small-diffusion asymptotics for discretely sampled stochastic differential equations (2003)Diffusions with measurement errors. I. Local Asymptotic Normality (2001)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1995Martingale Estimation Functions for Discretely Observed Diffusion Processes348 cited
  • 1993A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations269 cited
  • 1989Approximate discrete-time schemes for statistics of diffusion processes263 cited
  • 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes226 cited
  • 1975Stochastic Differential Equations191 cited
  • 1999Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process187 cited
  • 2000Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process84 cited
  • 2001Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality31 cited

Cited by

  • 2012Estimating functions for diffusion-type processes20 cited

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