IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Estimation of Continuous Time Models for Stock Returns and Interest Rates"

by Tauchen, George E. & Gallant, A. Ronald

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
  2. Andrés Romeu & Marcos Vera-Hernández, 2004. "Counts With An Endogenous Binary Regressor: A Series Expansion Approach," Working Papers. Serie AD 2004-36, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  3. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
  4. Xiao Huang, 2011. "Quasi‐maximum likelihood estimation of discretely observed diffusions," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 241-256, 07.
  5. Ming Liu & Harold Zhang, 1996. "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," GSIA Working Papers 34, Carnegie Mellon University, Tepper School of Business.
  6. Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari, 1998. "- Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time," Working Papers. Serie AD 1998-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  7. Gil Bazo, Javier & Rubio Irigoyen, Gonzalo, 2002. "A Non-Parametric Dimension Test of the Term Structure," DFAEII Working Papers 2002-01, University of the Basque Country - Department of Foundations of Economic Analysis II.
  8. Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
  10. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September.
  11. Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
  12. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
  13. Kleppe, Tore Selland & Skaug, Hans Julius, 2012. "Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3105-3119.
  14. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June.
  15. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  16. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2008. "Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility," Journal of Econometrics, Elsevier, vol. 143(2), pages 227-262, April.
  17. Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.
  18. Liu, Ming & Zhang, Harold H., 1998. "Overparameterization in the seminonparametric density estimation," Economics Letters, Elsevier, vol. 60(1), pages 11-18, July.
  19. Yuan, Ming & Wahba, Grace, 2004. "Doubly penalized likelihood estimator in heteroscedastic regression," Statistics & Probability Letters, Elsevier, vol. 69(1), pages 11-20, August.
  20. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
  21. George Tauchen, 1998. "The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 389-398, August.
  22. Diep Duong & Norman Swanson, 2013. "Density and Conditional Distribution Based Specification Analysis," Departmental Working Papers 201312, Rutgers University, Department of Economics.
  23. Durham, Garland B., 2003. "Likelihood-based specification analysis of continuous-time models of the short-term interest rate," Journal of Financial Economics, Elsevier, vol. 70(3), pages 463-487, December.
  24. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan.
  25. Solibakke, Per Bjarte, 2001. "A stochastic volatility model specification with diagnostics for thinly traded equity markets," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 385-406, December.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.