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Conditional estimation of diffusion processes

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  • Li, Minqiang
  • Pearson, Neil D.
  • Poteshman, Allen M.

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File URL: http://www.sciencedirect.com/science/article/B6VBX-4C70BKJ-1/2/4c191cd6e258b7c66335f76957e8d181
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 74 (2004)
Issue (Month): 1 (October)
Pages: 31-66

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Handle: RePEc:eee:jfinec:v:74:y:2004:i:1:p:31-66

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Web page: http://www.elsevier.com/locate/inca/505576

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References

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  1. Pritsker, Matt, 1998. "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 449-87.
  2. Goetzmann, W.N., 1990. "Testing The Predictive Power Of Dividend Yields," Papers fb-_90-12, Columbia - Graduate School of Business.
  3. David A. Chapman & Neil D. Pearson, 1998. "Is the Short Rate Drift Actually Nonlinear?," Finance 9808005, EconWPA.
  4. Abhyankar, Abhay & Basu, Devraj, 2001. "Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(03), pages 335-344, September.
  5. Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. " Survival," Journal of Finance, American Finance Association, vol. 50(3), pages 853-73, July.
  6. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  7. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  8. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  9. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
  10. Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298.
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Citations

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Cited by:
  1. Sumit Agarwal & John C Driscoll & David Laibson, 2008. "Optimal Mortgage Refinancing: A Closed Form Solution," Levine's Working Paper Archive 122247000000002021, David K. Levine.
  2. Lee, Kiseop & Xu, Mingxin, 2007. "Parameter estimation from multinomial trees to jump diffusions with k means clustering," MPRA Paper 3307, University Library of Munich, Germany, revised 26 Apr 2007.
  3. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
  4. Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
  5. Li, Minqiang, 2013. "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 128-139.
  6. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany.
  7. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  8. Bakshi, Gurdip & Ju, Nengjiu & Ou-Yang, Hui, 2006. "Estimation of continuous-time models with an application to equity volatility dynamics," Journal of Financial Economics, Elsevier, vol. 82(1), pages 227-249, October.

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