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Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality

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References

2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes373 cited
1997Estimation of an Ergodic Diffusion from Discrete Observations370 cited
1989Approximate discrete-time schemes for statistics of diffusion processes263 cited
1997Short-Term Interest Rates as Subordinated Diffusions263 cited
1986Estimation of the coefficients of a diffusion from discrete observations245 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
1997Estimating Functions for Discretely Observed Diffusions: A Review64 cited
1998Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach48 cited

Cited by

2005Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview23 cited
2002Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion21 cited
2008Efficient Estimation for Ergodic Diffusions Sampled at High Frequency21 cited
2012Estimating functions for diffusion-type processes

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20 cited