Parameter estimation and model testing for Markov processes via conditional characteristic functions

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Related Items (4)

Specification testing in random coefficient models ⋮ Inference based on adaptive grid selection of probability transforms ⋮ Simulated likelihood estimators for discretely observed jump-diffusions ⋮ Empirical likelihood methods for discretely observed Gaussian moving averages

Cites Work

Empirical likelihood methods with weakly dependent processes
Efficient estimation of general dynamic models with a continuum of moment conditions
A review on empirical likelihood methods for regression
The empirical characteristic function and its applications
Comparing nonparametric versus parametric regression fits
Empirical likelihood and general estimating equations
Spectral GMM estimation of continuous-time processes
A selective overview of nonparametric methods in financial econometrics
Closed-form likelihood expansions for multivariate diffusions
A test for model specification of diffusion processes
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
A Theory of the Term Structure of Interest Rates
An efficiency result for the empirical characteristic function in stationary time-series models
CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION
Empirical likelihood ratio confidence intervals for a single functional
On Some Fourier Methods for Inference
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
Transform Analysis and Asset Pricing for Affine Jump-diffusions
An Empirical Likelihood Goodness-of-Fit Test for Time Series
Nonparametric Pricing of Interest Rate Derivative Securities
Nonparametric Transition-Based Tests for Jump Diffusions
An equilibrium characterization of the term structure
Option pricing when underlying stock returns are discontinuous
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
Stochastic volatility models as hidden Markov models and statistical applications
Estimation of affine asset pricing models using the empirical characteristic function
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