Truncated dynamics and estimation of diffusion equations
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Other versions of this item:
- Serge Darolles & Christian Gourieroux, 1997. "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers 97-36, Center for Research in Economics and Statistics.
- Serge Darolles & Christian Gourieroux, 2000. "Truncated dynamics and estimation of diffusion equations," Post-Print halshs-00678232, HAL.
References listed on IDEAS
- 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(5), pages 615-645, October.
- repec:crs:wpaper:9855 is not listed on IDEAS
- Gourieroux, C & Monfort, A & Renault, E, 1993.
"Indirect Inference,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
- Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
- Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June.
- Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995.
"Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes,"
Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
- 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.
- 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 525-577.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
Citations
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Cited by:
- Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, Department of Economics and Business Economics, Aarhus University.
- Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004.
"Kernel-based nonlinear canonical analysis and time reversibility,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 323-353, April.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers 2000-18, Center for Research in Economics and Statistics.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2004. "Kernel-based nonlinear canonical analysis and time reversibility," Post-Print halshs-00678062, HAL.
- Bernd Wilfling, 2003.
"Interest Rate Volatility Prior to Monetary Union under Alternative Pre‐Switch Regimes,"
German Economic Review, Verein für Socialpolitik, vol. 4(4), pages 433-457, November.
- 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).
- Wilfling, Bernd, 2001. "Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes," Discussion Paper Series 26277, Hamburg Institute of International Economics.
- Kristensen, Dennis, 2010.
"Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models,"
Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
- Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, Department of Economics and Business Economics, Aarhus University.
- Bernd Wilfling, 2003.
"Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes,"
German Economic Review,
Verein für Socialpolitik, vol. 4, pages 433-457, November.
- 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).
- Wilfling, Bernd, 2001. "Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes," Discussion Paper Series 26277, Hamburg Institute of International Economics.
- Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
- Ruijun Bu & Jihyun Kim & Bin Wang, 2020. "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers 202021, University of Liverpool, Department of Economics.
- repec:adr:anecst:y:2007:i:85:p:05 is not listed on IDEAS
- Mark Trede & Bernd Wilfling, 2007.
"Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data,"
Empirical Economics, Springer, vol. 33(1), pages 23-39, July.
- 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).
- Kristensen, Dennis, 2008.
"Estimation of partial differential equations with applications in finance,"
Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
- Kristensen, Dennis, 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.
- Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
- Kristensen, Dennis, 2004.
"Estimation in two classes of semiparametric diffusion models,"
LSE Research Online Documents on Economics
24739, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
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