Truncated dynamics and estimation of diffusion equations
AbstractNo abstract is available for this item.
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 Elsevier in its journal Journal of Econometrics.
Volume (Year): 102 (2001)
Issue (Month): 1 (May)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Serge Darolles & Christian Gourieroux, 1997. "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers 97-36, Centre de Recherche en Economie et Statistique.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jiang, George J. & Knight, John L., 1997. "A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model," Econometric Theory, Cambridge University Press, vol. 13(05), pages 615-645, October.
- Gourieroux, C. & Monfort, A. & Renault, E., 1992.
92.279, Toulouse - GREMAQ.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 1998.
"Kernel Based Nonlinear Canonical Analysis,"
98-55, Centre de Recherche en Economie et Statistique.
- Darolles, Serge & Florens, Jean-Pierre & Gouriéroux, Christian, 1999. "Kernel Based Nonlinear Canonical Analysis," IDEI Working Papers 83, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2001.
- Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999. "Kernel Based Nonlinear Canonical Analysis," Papers 99.514, Toulouse - GREMAQ.
- Lars Peter Hansen & Jose Alexandre Scheinkman, 1993.
"Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes,"
NBER Technical Working Papers
0141, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
- repec:fth:inseep:9855 is not listed on IDEAS
- Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June.
- Wilfling, Bernd, 2001.
"Interest rate volatility prior to monetary union under alternative pre-switch regimes,"
HWWA Discussion Papers
143, Hamburg Institute of International Economics (HWWA).
- Bernd Wilfling, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, Verein für Socialpolitik, vol. 4, pages 433-457, November.
- Mark Trede & Bernd Wilfling, 2007.
"Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data,"
Springer, vol. 33(1), pages 23-39, July.
- Wilfling, Bernd & Trede, Mark, 2004. "Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data," HWWA Discussion Papers 267, Hamburg Institute of International Economics (HWWA).
- Kristensen, Dennis, 2010.
"Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models,"
Journal of Econometrics,
Elsevier, vol. 156(2), pages 239-259, June.
- Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, School of Economics and Management, University of Aarhus.
- Dennis Kristensen, 2004.
"Estimation of partial differential equations with applications in finance,"
LSE Research Online Documents on Economics
24738, London School of Economics and Political Science, LSE Library.
- Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
- Christian GOURIEROUX & Eric RENAULT & Pascale VALERY, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annales d'Economie et de Statistique, ENSAE, issue 85, pages 115-130.
- Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004.
"Kernel-based nonlinear canonical analysis and time reversibility,"
Journal of Econometrics,
Elsevier, vol. 119(2), pages 323-353, April.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers 2000-18, Centre de Recherche en Economie et Statistique.
- Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, School of Economics and Management, University of Aarhus.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
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.