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Truncated dynamics and estimation of diffusion equations

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Author Info
Darolles, Serge
Gourieroux, Christian

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 102 (2001)
Issue (Month): 1 (May)
Pages: 1-22
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Handle: RePEc:eee:econom:v:102:y:2001:i:1:p:1-22

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  1. Wilfling, Bernd, 2001. "Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes," Discussion Paper Series 26277, Hamburg Institute of International Economics. [Downloadable!]
    Other versions:
  2. Mark Trede & Bernd Wilfling, 2007. "Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data," Empirical Economics, Springer, vol. 33(1), pages 23-39, July. [Downloadable!] (restricted)
  3. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, School of Economics and Management, University of Aarhus. [Downloadable!]
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