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Statistical Inference for Student Diffusion Process
13 references·0 citing·40 second hop
Statistical Inference for Student Diffusion Process (2010)Statistical Inference for Student Diffusi…Testing distributional assumptions: A GMM aproach (2011)Testing distributional assump…TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (2010)TIME-CHANGED MARKOV PROCESSES…The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008)The Pearson Diffusions: A Cla…PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (2006)PRICING EQUITY DERIVATIVES SU…Journal of Applied Econometrics (2006)Journal of Applied Econometri…Student processes (2005)Student processesDiffusion-type models with given marginal distribution and autocorrelation function (2005)Diffusion-type models with gi…THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004)THE SPECTRAL DECOMPOSITION OF…Testing normality: a GMM approach (2004)Testing normality: a GMM appr…Spectral Expansions for Asian (Average Price) Options (2004)Spectral Expansions for Asian…Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach (2003)Pricing Options on Scalar Dif…Stochastic Volatility Models as Hidden Markov Models and Statistical Applications (2000)Stochastic Volatility Models …Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…A Theory of the Term Structure of Interest Rates (1985)The Variance Gamma (V.G.) Model for Share Market Returns (1990)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE (2007)Estimating Functions for Discretely Sampled Diffusion-Type Models (2010)The Econometrics of Financial Markets (1997)Polynomial processes and their applications to mathematical finance (2012)The Econometrics of Financial Markets (2012)Density Approximations for Multivariate Affine Jump-Diffusion Processes (2016)A pricing method for options based on average asset values (1990)Monte Carlo methods for security pricing (1997)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)The Pricing of Options on Assets with Stochastic Volatilities (1987)ARCH models as diffusion approximations (1990)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Nonparametric Estimation of Expected Shortfall (2007)Parameter estimation and bias correction for diffusion processes (2008)Theory of Rational Option Pricing (1973)Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (2003)On the transition densities for reflected diffusions (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Volatility Forecasting (2005)Chapter 5 Predictive Density Evaluation (2006)Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (2009)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Time-changed CIR default intensities with two-sided mean-reverting jumps (2014)Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (2016)The Pricing of Options and Corporate Liabilities (1973)Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models (2004)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)The Effect of Fixed Exchange Rates on Monetary Policy (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)The Mechanism(s) of Neighbourhood Effects: Theory, Evidence, and Policy Implications (2011)
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References

  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 2006Journal of Applied Econometrics979 cited
  • 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications230 cited
  • 2004Spectral Expansions for Asian (Average Price) Options221 cited
  • 2008The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes181 cited
  • 2004Testing normality: a GMM approach176 cited
  • 2004THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE163 cited
  • 2003Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach158 cited
  • 2006PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY152 cited
  • 2005Diffusion-type models with given marginal distribution and autocorrelation function129 cited
  • 2005Student processes107 cited
  • 2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING98 cited
  • 2011Testing distributional assumptions: A GMM aproach59 cited

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