Estimation of Continuous-Time Processes via the Empirical Characteristic Function

By George J. Jiang, John Knight. 2002

160 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/03810f86044d107d3607609fd8389d8bc8a63531

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Citations in the corpus

Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method (2002, unknown): “Consequently, Singleton (2001) and Jiang & Knight (2002) estimate the affine jump-diffusion via the ECF method. c© Australian Statistical Publishing Association Inc. 2002 Since the ECF method is a frequency approach, the parameters of interest exclude the unobserved state variables which are the…”
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form (2005, background): “There has been an increasing interest in using the characteristic function in econometrics (e.g. Epps (1987, 1988), Pinkse (1998), Singleton (2001), Jiang and Knight (2002), Knight and Yu (2002), and Chacko and Viceira (2003)).”
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (2003, unknown): “…estimation+ 5+ There has been increasing interest in using the characteristic function in time series analysis ~e+g+, Epps, 1987, 1988; Feuerverger, 1990; Jiang and Knight, 2002; Knight and Satchell, 1997; Knight and Yu, 2002; Pinkse, 1998; Singleton, 2001!+ 6+ In a not unrelated context,…”
Empirical reverse engineering of the pricing kernel (2003, background): “15 13 The alternative strategies based on the characteristic function (Chacko and Viceira, 2003; Jiang and Knight, 2002; or Singleton, 2001), or GMM (Pan, 2002) are not applicable for at least one of the three reasons.”
Maximum Likelihood Estimation of Latent Affine Processes (2006, unknown): “As illustrated in Jiang and Knight (2002), iterated expectations can be used to generate unconditional characteristic functions or joint characteristic functions F(iΦ) / E [exp (iΦyt ) ] F(iΦ0 , ... , iΦL ) / .”
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2005, unknown): “…(1995) and Brandt and Santa-Clara (2002), the Hermite expansion approach of Ait-Sahalia (2002a,b), or, for affine diffusions, the closed-form approximation of Duffie, Pedersen, and Singleton (2003) and the empirical characteristic function approach of Singleton (2001) and Jiang and Knight (2002).”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “Finally, in order to build an approximation of the above diffusions in the spirit of Nelson (1990), it is enough to discretize the above SDE, thus leading to the announced stochastic difference equations.”
Efficient estimation of general dynamic models with a continuum of moment conditions (2007, methodology): “The method exploits the moment conditions computed via the characteristic function (CF) of a stochastic process instead of the likelihood function, as in the recent work by Chacko and Viceira (2003), Jiang and Knight (2002), and Singleton (2001). The most obvious advantage of such an approach is tha”
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2006, methodology): “Singleton (2001), Jiang and Knight (2002), and Chacko and Viciera (2003) have revisited the idea of utilising the Fokker-Planck equation in a procedure to estimate the parameters of SDEs.”
On the functional estimation of jump-diffusion models (2003, background): “Carrasco et al. (2002), Chacko and Viceira (1999), Jiang and Knight (2000) , Schaumburg (2002), and Singleton (2001) employ moment conditions in time and/or frequency domain often based on the characteristic function of the sampled data.”
Spectral GMM Estimation of Continuous-Time Processes (2003, unknown): “16 Finally, it is important to remember that the loss of e2ciency relative to Singleton (2001) and Jiang and Knight (2002) occurs only with latent variable models and not generally with observable multi-factor models or jump–di6usion based models.”
Empirical Characteristic Function Estimation and Its Applications (2004, unknown): “Based on the joint CF, Jiang and Knight (2002) apply the continuous ECF procedure proposed in Yu (1998) and Knight and Yu (2002) to estimate the continuous time SV model.”
A Didactic Note on Affine Stochastic Volatility Models (2006, background): “This is stated in Kallsen & Shiryaev (2002a), Lemma 5 for the case Θ∞ = ∞.”