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The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

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Cited by:

  1. Elvira Di Nardo & Giuseppe D’Onofrio, 2021. "On the Cumulants of the First Passage Time of the Inhomogeneous Geometric Brownian Motion," Mathematics, MDPI, vol. 9(9), pages 1-17, April.
  2. Rama Cont & Marvin S. Mueller, 2019. "A stochastic partial differential equation model for limit order book dynamics," Papers 1904.03058, arXiv.org, revised May 2021.
  3. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
  4. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
  5. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
  6. Nina Munkholt Jakobsen & Michael Sørensen, 2015. "Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval," CREATES Research Papers 2015-33, Department of Economics and Business Economics, Aarhus University.
  7. Yuichi Nagahara, 2008. "A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 175-184, December.
  8. Di Nardo, Elvira & D’Onofrio, Giuseppe, 2021. "A cumulant approach for the first-passage-time problem of the Feller square-root process," Applied Mathematics and Computation, Elsevier, vol. 391(C).
  9. Larsson, Martin & Pulido, Sergio, 2017. "Polynomial diffusions on compact quadric sets," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 901-926.
  10. Yuichi Nagahara, 2011. "Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 429-443, November.
  11. Gordon H. Hanson & Nelson Lind & Marc-Andreas Muendler, 2015. "The Dynamics of Comparative Advantage," CESifo Working Paper Series 5622, CESifo.
  12. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019.
  13. Aleksandar Mijatović & Paul Schneider, 2014. "Empirical Asset Pricing with Nonlinear Risk Premia," Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 479-506.
  14. Jean Jacod & Michael Sørensen, 2018. "A review of asymptotic theory of estimating functions," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 415-434, July.
  15. Giacomo Ascione & Nikolai Leonenko & Enrica Pirozzi, 2022. "Non-local Solvable Birth–Death Processes," Journal of Theoretical Probability, Springer, vol. 35(2), pages 1284-1323, June.
  16. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
  17. Bercu, Bernard & Richou, Adrien, 2017. "Large deviations for the Ornstein–Uhlenbeck process without tears," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 45-55.
  18. Ernstsen, Rune Ramsdal & Boomsma, Trine Krogh, 2018. "Valuation of power plants," European Journal of Operational Research, Elsevier, vol. 266(3), pages 1153-1174.
  19. Ahmed Nafidi & Ilyasse Makroz & Ramón Gutiérrez Sánchez, 2021. "A Stochastic Lomax Diffusion Process: Statistical Inference and Application," Mathematics, MDPI, vol. 9(1), pages 1-9, January.
  20. Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
  21. Asger Lunde & Anne Floor Brix, 2013. "Estimating Stochastic Volatility Models using Prediction-based Estimating Functions," CREATES Research Papers 2013-23, Department of Economics and Business Economics, Aarhus University.
  22. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, Department of Economics and Business Economics, Aarhus University.
  23. Christa Cuchiero & Francesco Guida & Luca di Persio & Sara Svaluto-Ferro, 2021. "Measure-valued affine and polynomial diffusions," Papers 2112.15129, arXiv.org.
  24. Sutthimat, Phiraphat & Mekchay, Khamron & Rujivan, Sanae, 2022. "Closed-form formula for conditional moments of generalized nonlinear drift CEV process," Applied Mathematics and Computation, Elsevier, vol. 428(C).
  25. repec:uts:finphd:41 is not listed on IDEAS
  26. Amorino, Chiara & Heidari, Akram & Pilipauskaitė, Vytautė & Podolskij, Mark, 2023. "Parameter estimation of discretely observed interacting particle systems," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 350-386.
  27. Rama Cont & Marvin Muller, 2019. "A Stochastic Pde Model For Limit Order Book Dynamics," Working Papers hal-02090449, HAL.
  28. Mar'ia Fernanda del Carmen Agoitia Hurtado & Thorsten Schmidt, 2018. "Time-inhomogeneous polynomial processes," Papers 1806.03887, arXiv.org.
  29. Giorgos Sermaidis & Omiros Papaspiliopoulos & Gareth O. Roberts & Alexandros Beskos & Paul Fearnhead, 2013. "Markov Chain Monte Carlo for Exact Inference for Diffusions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(2), pages 294-321, June.
  30. Choi, Michael C.H. & Li, Evelyn, 2019. "A Hoeffding’s inequality for uniformly ergodic diffusion process," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 23-28.
  31. Leonenko, N.N. & Papić, I. & Sikorskii, A. & Šuvak, N., 2017. "Heavy-tailed fractional Pearson diffusions," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3512-3535.
  32. Levene, Mark & Fenner, Trevor, 2021. "A stochastic differential equation approach to the analysis of the 2017 and 2019 UK general election polls," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1227-1234.
  33. Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
  34. A. M. Kulik & N. N. Leonenko & I. Papić & N. Šuvak, 2020. "Parameter Estimation for Non-Stationary Fisher-Snedecor Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1023-1061, September.
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