Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
AbstractWe introduce a family of generalized-method-of-moments estimators of the parameters of a continuous-time Markov process observed at random time intervals. The results include strong consistency, asymptotic normality, and a characterization of standard errors. Sampling is at an arrival intensity that is allowed to depend on the underlying Markov process and on the parameter vector to be estimated. We focus on financial applications, including tick-based sampling, allowing for jump diffusions, regime-switching diffusions, and reflected diffusions. Copyright The Econometric Society 2004.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 72 (2004)
Issue (Month): 6 (November)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009.
"Nonlinearity and Temporal Dependence,"
Cowles Foundation Discussion Papers
1652R, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
- Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008. "Nonlinearity and Temporal Dependence," Working Papers 48, Yale University, Department of Economics.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," CIRANO Working Papers 2009s-17, CIRANO.
- Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
- Pastorello, S. & Rossi, E., 2010. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2753-2762, November.
- Federico M. Bandi & Peter C.B. Phillips, 2005.
"A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions,"
Cowles Foundation Discussion Papers
1522, Cowles Foundation for Research in Economics, Yale University.
- Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
- Yu, Jialin, 2007. "Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan," Journal of Econometrics, Elsevier, vol. 141(2), pages 1245-1280, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.