Pages that link to "Item:Q5939360"

The following pages link to Estimation of affine asset pricing models using the empirical characteristic function (Q5939360):

Displaying 50 items.

• EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION (Q61344) (← links)
• A simple approach to the parametric estimation of potentially nonstationary diffusions (Q276917) (← links)
• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (Q289216) (← links)
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? (Q291853) (← links)
• Efficient estimation of general dynamic models with a continuum of moment conditions (Q451261) (← links)
• Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models (Q530607) (← links)
• Discrete time Wishart term structure models (Q543795) (← links)
• Spectral estimation of the Lévy density in partially observed affine models (Q544516) (← links)
• Credit risk analysis of mortgage loans: An application to the Italian market (Q704063) (← links)
• Nonparametric estimation for a class of Lévy processes (Q736519) (← links)
• A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates (Q737878) (← links)
• A martingale approach for testing diffusion models based on infinitesimal operator (Q737898) (← links)
• Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
• Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
• American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
• Multi-layer model of correlated energy prices (Q847241) (← links)
• Spectral estimation of the fractional order of a Lévy process (Q847639) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions (Q929715) (← links)
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach (Q961403) (← links)
• A fast Fourier transform technique for pricing American options under stochastic volatility (Q965893) (← links)
• Volatility estimators for discretely sampled Lévy processes (Q997383) (← links)
• Consistent estimation in regression models for the drift function in some continuous time models (Q1023597) (← links)
• Empirical likelihood estimation of discretely sampled processes of OU type (Q1041558) (← links)
• Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
• On the functional estimation of jump-diffusion models. (Q1398983) (← links)
• Empirical reverse engineering of the pricing kernel. (Q1398984) (← links)
• Frontiers of financial econometrics and financial engineering. Papers of a conference, Durham. NC, USA (Q1400859) (← links)
• Affine processes and applications in finance (Q1425484) (← links)
• The indirect continuous-GMM estimation (Q1623544) (← links)
• Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models (Q1658343) (← links)
• The split-SV model (Q1659144) (← links)
• First passage time of a Lévy degradation model with random effects (Q1739386) (← links)
• Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects (Q1739883) (← links)
• Testing for jumps and jump intensity path dependence (Q1753059) (← links)
• Finite sample properties of test of Epstein-Zin asset pricing model (Q1808559) (← links)
• The surprise element: Jumps in interest rates. (Q1858907) (← links)
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← links)
• Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
• A spectral estimation of tempered stable stochastic volatility models and option pricing (Q1927145) (← links)
• Parameter estimation and model testing for Markov processes via conditional characteristic functions (Q1940757) (← links)
• Recovering default risk from CDS spreads with a nonlinear filter (Q1994302) (← links)
• Efficient estimation and filtering for multivariate jump-diffusions (Q2024483) (← links)
• The likelihood of mixed hitting times (Q2043238) (← links)
• Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications (Q2098012) (← links)
• Testing distributional assumptions using a continuum of moments (Q2227064) (← links)
• Correlated squared returns (Q2241899) (← links)
• Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
• On the identification of models with conditional characteristic functions (Q2292821) (← links)
• Density approximations for multivariate affine jump-diffusion processes (Q2442452) (← links)