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The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
16 references·0 citing·42 second hopsampled
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,808 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,562 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2001Estimation of affine asset pricing models using the empirical characteristic function366 cited
  • 2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility318 cited
  • 2008Risk, jumps, and diversification290 cited
  • 2003Spectral GMM estimation of continuous-time processes285 cited
  • 2002A theoretical comparison between integrated and realized volatility281 cited
  • 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications230 cited
  • 1999Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process187 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2005Diffusion-type models with given marginal distribution and autocorrelation function129 cited
  • 2000Prediction‐based estimating functions

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121 cited
  • 2002Propriété LAN pour les diffusions ergodiques avec observations discrètes119 cited
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