Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
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Cited by:
- Djouadi, Seddik M. & Maroulas, Vasileios & Pan, Xiaoyang & Xiong, Jie, 2017. "Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump–diffusion processes," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 8-16.
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More about this item
Keywords
Modeling asset prices; Affine-jump-diffusions; Characteristic functions; Stochastic volatility; Empirical estimation;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-08-13 (Finance)
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