Advanced Search
MyIDEAS: Login to save this paper or follow this series

Truncated Dynamics and Estimation of DiffusionEquations

Contents:

Author Info

  • Serge Darolles

    (Crest)

  • Christian Gourieroux

    (Crest)

Abstract

No abstract is available for this item.

Download Info

If 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.
File URL: http://www.crest.fr/content/blogcategory/21/54/
File Function: Crest working paper version
Download Restriction: no

Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 97-36.

as in new window
Length:
Date of creation: 1997
Date of revision:
Handle: RePEc:crs:wpaper:97-36

Contact details of provider:
Postal: 15 Boulevard Gabriel Peri 92245 Malakoff Cedex
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

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.:
as in new window
  1. repec:fth:inseep:9855 is not listed on IDEAS
  2. 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.
  3. Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, Elsevier, vol. 86(1), pages 1-32, June.
  4. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers, Toulouse - GREMAQ 92.279, Toulouse - GREMAQ.
  5. 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.
  6. 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.
  7. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-77.
  8. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, Econometric Society, vol. 41(1), pages 135-55, January.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, Elsevier, vol. 156(2), pages 239-259, June.
  2. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, School of Economics and Management, University of Aarhus.
  3. Christian GOURIEROUX & Eric RENAULT & Pascale VALERY, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annales d'Economie et de Statistique, ENSAE, issue 85, pages 115-130.
  4. 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).
  5. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, Elsevier, vol. 144(2), pages 392-408, June.
  6. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers, Centre de Recherche en Economie et Statistique 2000-18, Centre de Recherche en Economie et Statistique.
  7. 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).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:97-36. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry).

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.