Efficient Estimation Using the Characteristic Function
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Other versions of this item:
- Carrasco, Marine & Kotchoni, Rachidi, 2017. "Efficient Estimation Using The Characteristic Function," Econometric Theory, Cambridge University Press, vol. 33(2), pages 479-526, April.
- Marine Carrasco & Rachidi Kotchoni, 2013. "Efficient Estimation Using the Characteristic Function," Working Papers hal-00867850, HAL.
- Marine Carrasco & Rachidi Kotchoni, 2013. "Efficient estimation using the Characteristic Function," CIRANO Working Papers 2013s-22, CIRANO.
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Citations
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Cited by:
- Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-37, May.
- Manuel A. Domínguez & Ignacio N. Lobato, 2020. "Specification testing with estimated variables," Econometric Reviews, Taylor & Francis Journals, vol. 39(5), pages 476-494, May.
- Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Multiple Subordinated Modeling of Asset Returns," Papers 1907.12600, arXiv.org.
- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012.
"Underidentification?,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
- Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Rachidi Kotchoni, 2012. "Applications of the Characteristic Function Based Continuum GMM in Finance," Post-Print hal-00867795, HAL.
- Pierre Chausse, 2017. "Regularized Empirical Likelihood as a Solution to the No Moment," Working Papers 1708, University of Waterloo, Department of Economics, revised Nov 2017.
- Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jul 2020.
- Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
- Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
- Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
- Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
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More about this item
JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- 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
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