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Citations for "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data"

by Lo, Andrew W.

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  1. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9403, Universite de Montreal, Departement de sciences economiques.
  2. Orazio Di Miscia, 2005. "Nonparametric estimation of diffusion process: a closer look," Finance, EconWPA 0504016, EconWPA.
  3. Egorov, Alexei V. & Li, Haitao & Xu, Yuewu, 2003. "Maximum likelihood estimation of time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, Elsevier, vol. 114(1), pages 107-139, May.
  4. A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 390-455.
  5. Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation for Research in Economics, Yale University.
  6. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation for Research in Economics, Yale University.
  7. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation for Research in Economics, Yale University.
  8. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Sim Kee Boon Institute for Financial Economics.
  9. Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
  10. Wälde, Klaus & Bayer, Christian, 2011. "Describing the Dynamics of Distribution in Search and Matching Models by Fokker-Planck Equations," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48736, Verein für Socialpolitik / German Economic Association.
  11. Peter Fuleky, 2012. "On the choice of the unit period in time series models," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1179-1182, August.
  12. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  13. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 69, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. 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.
  15. Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2000. "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers 2000s-05, CIRANO.
  16. Rady, Sven, 1994. "The Direct Approach to Debt Option Pricing," Munich Reprints in Economics, University of Munich, Department of Economics 3404, University of Munich, Department of Economics.
  17. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, School of Economics and Management, University of Aarhus.
  18. Peter C. B. Phillips & Jun Yu, 2006. "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers 22472, East Asian Bureau of Economic Research.
  19. Clifford Ball & Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(1), pages 1-15.
  20. Tse, Y. K., 1995. "Some international evidence on the stochastic behavior of interest rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(5), pages 721-738, October.
  21. Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(2), pages 161-210, February.
  22. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, Elsevier, vol. 2(3), pages 199-223, September.
  23. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Papers 2013-10-14, Working Paper.
  24. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, Econometric Society, vol. 63(4), pages 767-804, July.
  25. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  26. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
  27. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 2075-2088, April.
  28. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, Elsevier, vol. 116(1-2), pages 259-292.
  29. Long, Hongwei, 2009. "Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2076-2085, October.
  30. 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.
  31. R. Bhar & C. Chiarella, 1997. "Transformation of Heath?Jarrow?Morton models to Markovian systems," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 1-26.
  32. V. Bosetti & J.M. Conrad & E. Messinat, 2004. "The Value of Flexibility: Preservation, Remediation, or Development for Ginostra?," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 29(2), pages 219-229, October.
  33. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
  34. Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers 16-2009, Singapore Management University, School of Economics.
  35. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 42, Quantitative Finance Research Centre, University of Technology, Sydney.
  36. Jeremy Berkowitz, 2000. "On identification of continuous time stochastic processes," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2000-07, Board of Governors of the Federal Reserve System (U.S.).
  37. Geweke, John & Amisano, Gianni, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series, European Central Bank 0831, European Central Bank.
  38. Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November.
  39. Federico M. Bandi & Peter C.B. Phillips, 2005. "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions," Cowles Foundation Discussion Papers 1522, Cowles Foundation for Research in Economics, Yale University.
  40. Orazio Di Miscia, 2005. "Term structure of interest models: concept and estimation problem in a continuous-time setting," Finance, EconWPA 0504017, EconWPA.
  41. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics Working Papers 2011-26, University of Adelaide, School of Economics.
  42. Ram Bhar & Carl Chiarella, 1995. "Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 56, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  43. Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 80, Quantitative Finance Research Centre, University of Technology, Sydney.
  44. K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany.
  45. Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 54, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  46. Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011. "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers 1778, Cowles Foundation for Research in Economics, Yale University.
  47. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
  48. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers, Financial Markets Group dp500, Financial Markets Group.
  49. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, School of Economics and Management, University of Aarhus.
  50. Geman, Hélyette & Roncoroni, Andrea, 2003. "A Class of Marked Point Processes for Modelling Electricity Prices," ESSEC Working Papers DR 03004, ESSEC Research Center, ESSEC Business School.
  51. Jiang, George J., 1998. "Jump-diffusion model of exchange rate dynamics : estimation via indirect inference," Research Report 98A40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  52. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc.
  53. Long, Hongwei & Shimizu, Yasutaka & Sun, Wei, 2013. "Least squares estimators for discretely observed stochastic processes driven by small Lévy noises," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 422-439.
  54. Dennis Kristensen, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
  55. Dennis Kristensen, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
  56. Robert A. Jones & Mohammad Zanganeh, 2011. "Estimation of Equicorrelated Diffusions from Incomplete Data," Discussion Papers dp11-03, Department of Economics, Simon Fraser University.
  57. Carl Chiarella & Thuy-Duong Tô, 2006. "The Multifactor Nature of the Volatility of Futures Markets," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 27(2), pages 163-183, May.
  58. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, Elsevier, vol. 149(1), pages 65-81, April.
  59. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation for Research in Economics, Yale University.
  60. Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
  61. Alexander David & Pietro Varonesi, 1999. "Option prices with uncertain fundamentals theory and evidence on the dynamics of implied volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-47, Board of Governors of the Federal Reserve System (U.S.).
  62. Fernandes, Marcelo, 2006. "Financial crashes as endogenous jumps: estimation, testing and forecasting," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(1), pages 111-141, January.
  63. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series, National Centre for Econometric Research 2, National Centre for Econometric Research.
  64. Song, Zhaogang, 2011. "A martingale approach for testing diffusion models based on infinitesimal operator," Journal of Econometrics, Elsevier, Elsevier, vol. 162(2), pages 189-212, June.
  65. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 109(1), pages 33-65, July.
  66. Andre Santos & Jorge A. Chan-Lau, 2006. "Currency Mismatches and Corporate Default Risk," IMF Working Papers 06/269, International Monetary Fund.
  67. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  68. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-32, Board of Governors of the Federal Reserve System (U.S.).
  69. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, Elsevier, vol. 100(1), pages 41-51, January.
  70. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 374-417, June.
  71. Orazio Di Miscia, 2005. "Estimation of continuous-time interest rate models: a nonparametric approach," Finance, EconWPA 0504015, EconWPA.
  72. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
  73. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations," Working Papers halshs-00408014, HAL.
  74. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-28, Board of Governors of the Federal Reserve System (U.S.).
  75. repec:wyi:journl:002108 is not listed on IDEAS
  76. Geman, Hélyette & Roncoroni, Andréa, 2006. "Understanding the Fine Structure of Electricity Prices," Economics Papers from University Paris Dauphine 123456789/1433, Paris Dauphine University.
  77. Tse, Y.K., 1992. "MLE of some continuous time financial models: Some Monte Carlo results," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 33(5), pages 575-580.
  78. Jaime A. Londoño, 2003. "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics, EconWPA 0305002, EconWPA, revised 16 Feb 2004.
  79. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 83-107.
  80. Christian Bayer & Klaus Waelde, 2011. "Existence, Uniqueness and Stability of Invariant Distributions in Continuous-Time Stochastic Models," Working Papers 1111, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 21 Jul 2011.
  81. Phillips, Peter C.B. & Yu, Jun, 2009. "A two-stage realized volatility approach to estimation of diffusion processes with discrete data," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 139-150, June.
  82. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, Elsevier, vol. 77(2), pages 343-377, April.
  83. Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance, EconWPA 0409003, EconWPA.
  84. Pastorello, S. & Rossi, E., 2010. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2753-2762, November.
  85. Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.
  86. Alcock, Jamie & Burrage, Kevin, 2004. "A genetic estimation algorithm for parameters of stochastic ordinary differential equations," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 47(2), pages 255-275, September.
  87. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 3.
  88. Hao Zhou, 2000. "A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2000-45, Board of Governors of the Federal Reserve System (U.S.).
  89. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, Elsevier, vol. 174(2), pages 45-65.
  90. Tauchen, George, 2001. "Notes on financial econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 100(1), pages 57-64, January.
  91. Chen, Song Xi & Gao, Jiti & Tang, Chenghong, 2005. "A test for model specification of diffusion processes," MPRA Paper 11976, University Library of Munich, Germany, revised Feb 2007.