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Classical Method of Moments for Partially and Discretely Observed Ergodic Models

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Author Info
Hiroki Masuda ()
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File URL: http://hdl.handle.net/10.1023/B:SISP.0000049120.83388.89
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Publisher Info
Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

Volume (Year): 8 (2005)
Issue (Month): 1 (January)
Pages: 25-50
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Handle: RePEc:spr:sistpr:v:8:y:2005:i:1:p:25-50

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Related research
Keywords: ergodicity; method of moments; Ornstein-Uhlenbeck process driven by a Lévy process; partially and discretely observed model; stochastic differential equation;

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References listed on IDEAS
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.:
  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  2. Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre. [Downloadable!]
  3. Jiang, George J & Knight, John L, 2002. "Estimation of Continuous-Time Processes via the Empirical Characteristic Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 198-212, April.
  4. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68. [Downloadable!] (restricted)
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