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Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions

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  • Eric Ghysels
  • Jean-Pierre Florens
  • Mikhail Chernov
  • Marine Carrasco

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  • Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
    • Handle: RePEc:cir:cirwor:2003s-02
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    Cited by:

    1. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(2), pages 372-406, April.
    2. Ghysels, Eric & Tauchen, George, 2003. "Frontiers of financial econometrics and financial engineering," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 1-7.
    3. Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465, September.
    4. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
    5. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    6. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    7. Kim, Myung Suk & Wang, Suojin, 2008. "Consistent estimation in regression models for the drift function in some continuous time models," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2682-2691, January.
    8. Hao Zhou, 2003. "Itô Conditional Moment Generator and the Estimation of Short-Rate Processes," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 250-271.
    9. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
    10. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
    11. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.

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