An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions

DOI10.1016/j.jeconom.2007.11.002zbMath1418.62285OpenAlexW2147925540MaRDI QIDQ292134

Per Aslak Mykland, Yacine Aït-Sahalia

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.11.002

zbMATH Keywords

efficiencydiffusionsrandom samplingmoment conditionsdiscrete sampling

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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