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Estimation of Continuous-Time Processes via the Empirical Characteristic Function

https://doi.org/10.1198/073500102317351958
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Modelling Hedge Fund Indices Using Levy Processes
inferred← citeshttps://doi.org/10.3386/w10579openalex-snapshot
Maximum Likelihood Estimation of Stochastic Volatility Models
inferred← citeshttps://doi.org/10.3386/w11188openalex-snapshot
Volatility Forecasting
inferred← citeshttps://doi.org/10.34989/swp-2005-45openalex-snapshot
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
inferred← citeshttps://doi.org/10.3982/qe1929openalex-snapshot
Bootstrapping Laplace Transforms of Volatility
inferred← citeshttps://doi.org/10.4324/9781315162775-7openalex-snapshot
The Continuum-GMM estimation
inferred← citeshttps://doi.org/10.71781/20937openalex-snapshot
Efficient estimation using the characteristic function : theory and applications with high frequency data
inferred← citeshttps://doi.org/10.7282/t3c827wkopenalex-snapshot
Essays on model specification tests and on binary response models
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