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The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes · Study

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PreprintThe Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Michael Sørensen2008

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Preprintgreen2008

The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Michael Sørensen · Julie Lyng Forman · Margit Sommer

16 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1985A Theory of the Term Structure of Interest Rates 2012The Econometrics of Financial Markets 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003Affine processes and applications in finance 2001Estimation of affine asset pricing models using the empirical characteristic function 2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility 2008Risk, jumps, and diversification

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2012Estimating functions for diffusion-type processeschapter · 16 shared references 2012Estimating functions for diffusion-type processeschapter · 16 shared references 2009Stochastic Volatilityother · 11 shared references 2008The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processesarticle · 10 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 7 shared references 2010Estimating Functions for Discretely Sampled Diffusion-Type Modelschapter · 7 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1150110

openalex_workW3122834396

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