Truncated dynamics and estimation of diffusion equations
Author
Abstract
Suggested Citation
DOI: 10.1016/S0304-4076(00)00085-3
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00678232
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May.
- Serge Darolles & Christian Gourieroux, 1997. "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers 97-36, Center for Research in Economics and Statistics.
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
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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.
- 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.
- 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).
- 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.
- 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.
- 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
- 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.
More about this item
Keywords
Truncation; Diffusion process; Sieve method; Infinitesimal generator; High-frequency data; Extreme risks;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00678232. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.