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On the functional estimation of jump-diffusion models

  • Bandi, Federico M.
  • Nguyen, Thong H.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-488P08C-4/2/96d7bba863ee5b58dc6320037cb75fa5
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 116 (2003)
    Issue (Month): 1-2 ()
    Pages: 293-328

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    Handle: RePEc:eee:econom:v:116:y:2003:i:1-2:p:293-328
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
    2. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
    4. Federico M. Bandi & Peter C.B. Phillips, 2001. "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers 1332, Cowles Foundation for Research in Economics, Yale University.
    5. Delgado, Miguel A. & Hidalgo, Javier, 2000. "Nonparametric inference on structural breaks," Journal of Econometrics, Elsevier, vol. 96(1), pages 113-144, May.
    6. Singleton, Kenneth J., 2001. "Estimation of affine asset pricing models using the empirical characteristic function," Journal of Econometrics, Elsevier, vol. 102(1), pages 111-141, May.
    7. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-24, October.
    8. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    9. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
    10. PERRON, BenoƮt, 1999. "Jumps in the Volatility of Financial Markets," Cahiers de recherche 9912, Universite de Montreal, Departement de sciences economiques.
    11. Bandi, Federico M., 2002. "Short-term interest rate dynamics: a spatial approach," Journal of Financial Economics, Elsevier, vol. 65(1), pages 73-110, July.
    12. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    13. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    14. Stanton, Richard, 1997. " A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1973-2002, December.
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