Applications of the characteristic function-based continuum GMM in finance
type: Item
instance of: scholarly article
title: Applications of the characteristic function-based continuum GMM in finance
zbMATH Open document ID: 1254.91754
author: Rachidi Kotchoni
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 60E10
zbMATH DE Number: 6119773
zbMATH Keywords: autoregressive variance gamma model
zbMATH Keywords: continuum of moments conditions
zbMATH Keywords: simulation
zbMATH Keywords: stable distribution
describes a project that uses: SYMSTB
describes a project that uses: STABLE
MaRDI profile type: Publication
full work available at URL: j.csda.2010.08.011
OpenAlex ID: W3121999338
cites work: An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
cites work: Intradaily dynamic portfolio selection
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Efficient estimation of general dynamic models with a continuum of moment conditions
cites work: Generalization of GMM to a continuum of moment conditions
cites work: EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
cites work: Spectral GMM estimation of continuous-time processes
cites work: A Method for Simulating Stable Random Variables
cites work: A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS
cites work: Q3723577
cites work: Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Two singular diffusion problems
cites work: An efficiency result for the empirical characteristic function in stationary time-series models
cites work: Q3940660
cites work: Q3902322
cites work: Estimation of stable distributions by indirect inference
cites work: The Wishart autoregressive process of multivariate stochastic volatility
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Asymptotic error distributions for the Euler method for stochastic differential equations
cites work: Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
cites work: Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
cites work: EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
cites work: Regression-Type Estimation of the Parameters of Stable Laws
cites work: Q4320778
cites work: The Variance Gamma Process and Option Pricing
cites work: Simple consistent estimators of stable distribution parameters
cites work: Q4247118
cites work: Maximum likelihood estimation of stable Paretian models.
cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
cites work: Numerical calculation of stable densities and distribution functions
cites work: Intermediate Probability
cites work: The estimation of the parameters of the stable laws
cites work: Estimation in Univariate and Multivariate Stable Distributions
cites work: Estimation of affine asset pricing models using the empirical characteristic function
cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach
cites work: On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
cites work: Empirical Characteristic Function Estimation and Its Applications
cites work: A class of nonlinear stochastic volatility models and its implications for pricing currency options
cites work: Q3673748
DOI: 10.1016/J.CSDA.2010.08.011
description: scientific article; zbMATH DE number 6119773