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. Javier Gil-Bazo & Gonzalo Rubio, 2001. "A Nonparametric Dimension Test Of The Term Structure," Business Economics Working Papers wb012106, Universidad Carlos III, Departamento de Economía de la Empresa.
  2. Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele, 1996. "Control variates for variance reduction in indirect inference: interest rate models in continuous time," MPRA Paper 23160, University Library of Munich, Germany, revised Nov 1996.
  3. 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.
  4. 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.
  5. 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.
  6. Ming Liu & Harold H. Zhang, 1997. "Overparameterization in the Seminonparametric Density Estimation," GSIA Working Papers 197, Carnegie Mellon University, Tepper School of Business.
  7. 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.
  8. 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.
  9. 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.
  10. Diep Duong & Norman Swanson, 2013. "Density and Conditional Distribution Based Specification Analysis," Departmental Working Papers 201312, Rutgers University, Department of Economics.
  11. 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.
  12. Ming Liu & Harold H. Zhang, . "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
  13. Yuan, Ming & Wahba, Grace, 2004. "Doubly penalized likelihood estimator in heteroscedastic regression," Statistics & Probability Letters, Elsevier, vol. 69(1), pages 11-20, August.
  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. 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.
  16. Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Xiao Huang, 2011. "Quasi‐maximum likelihood estimation of discretely observed diffusions," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 241-256, 07.
  22. Andrés Romeu & Marcos Vera-Hern�ndez, 2005. "Counts with an endogenous binary regressor: A series expansion approach," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 1-22, 03.
  23. 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.
  24. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous-Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, 06.
  25. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.