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Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models

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  • Hermann Singer

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  • Hermann Singer, 2006. "Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models," Computational Statistics, Springer, vol. 21(3), pages 385-397, December.
    • Handle: RePEc:spr:compst:v:21:y:2006:i:3:p:385-397
    DOI: 10.1007/s00180-006-0001-4
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    References listed on IDEAS

    as
    1. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
    2. Isao Shoji & Tohru Ozaki, 1997. "Comparative study of estimation methods for continuous time stochastic processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(5), pages 485-506, September.
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    Cited by:

    1. Salima El Kolei & Fabien Navarro, 2022. "Contrast estimation for noisy observations of diffusion processes via closed-form density expansions," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 303-336, July.
    2. esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.

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