Notes on financial econometrics

DOI10.1016/S0304-4076(00)00054-3zbMath0961.62094WikidataQ127087639 ScholiaQ127087639MaRDI QIDQ1841088

George Tauchen

Publication date: 5 June 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitycontinuous time modelsprice dynamicsdiscrete time financial data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

A mean reverting process for pricing treasury bills and futures contracts ⋮ Portfolio choice with endogenous utility: a large deviations approach.

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Estimation of stochastic volatility models with diagnostics
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Simulated Moments Estimation of Markov Models of Asset Prices
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Estimating stochastic differential equations efficiently by minimum chi-squared
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Nonparametric Pricing of Interest Rate Derivative Securities

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