Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
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- Dinghai Xu & John Knight, 2008. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers 08006, University of Waterloo, Department of Economics.
References listed on IDEAS
- Knight, John L. & Yu, Jun, 2002.
"Empirical Characteristic Function In Time Series Estimation,"
Cambridge University Press, pages 691-721.
- Knight, John & Yu, Jun, 1999. "Empirical Characteristic Function in Time Series Estimation," Working Papers 220, Department of Economics, The University of Auckland.
- Jiang, George J & Knight, John L, 2002. "Estimation of Continuous-Time Processes via the Empirical Characteristic Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 198-212, April.
- Kien Tran, 1998. "Estimating mixtures of normal distributions via empirical characteristic function," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 167-183.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 216-239, April.
- Dinghai Xu, 2009. "An Efficient Estimation for Switching Regression Models: A Monte Carlo Study," Working Papers 0903, University of Waterloo, Department of Economics, revised Apr 2009.
More about this item
KeywordsEmpirical characteristic function; Mixtures of normal;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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