Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals

By Darrell Duffie, Peter W. Glynn. 2004

114 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/116e88bec9d050a965294555bbe81b449a7ec09a

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Citations in the corpus

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, background): “While a similar issue had already been addressed by Duffie and Glynn (2004) and Aı̈t-Sahalia and Mykland (2003) (resp.”
Likelihood-based specification analysis of continuous-time models of the short-term interest rate (2003, background): “…the two-factor stochastic volatility models studied by Gallant and Tauchen (1998) and Andersen and Lund (1997) to models with several unobserved factors, possibly including jump components (e.g., Ahn et al., 2002; Boudoukh et al., 1998; Chacko, 1996; Dai and Singleton, 2000; Duffie and Kan, 1996).”
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004, methodology): “The rest of the paper is organized as follows: In the next section, we present the general model for the stock price dynamics as formulated in Duffie et al. (2000) special cases of this model, and discuss implications for option pricing.”
Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets (2002, unknown): “…Tauchen, 1997), intentionally misspecified moments (Gouri!eroux et al., 1993), moments generated from the infinitesimal generator of the diffusion (Duffie and Glynn, 1996; Hansen and Scheinkman, 1995; Stanton, 1997), and moments that match the unconditional density to an empirical density…”
MIDAS Regressions: Further Results and New Directions (2007, background): “and Mykland (2003), Due and Glynn (2001) , Dufour and Engle (2000), Engle (2000), Ghysels and Jasiak (1998), Renault and Werker (2002) for some recent examples and further”
Pricing Interest Rate Derivatives: A General Approach (2002, unknown): “…and Santa-Clara (1998), Brenner, Harjes, and Kroner (1996), Chacko (1998), Chan et al. (1992), Conley et al. (1997), Dai and Singleton (2000, 2001), Das (1998), Duffie and Glyn (1996), Gray (1996), Koedijk et al. (1996), Naik and Lee (1993), Pritsker (1998), Singleton (1997), and Stanton (1997).”
Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan (2007, methodology): “Generalized method of moments estimation (Hansen and Scheinkman, 1995; Kessler and Sorensen, 1999; Duffie and Glynn, 2004; Carrasco et al., 2007) has also been proposed to sidestep likelihood evaluation.”
Irregular sampling and central limit theorems for power variations: The continuous case (2011, background): “One may also quote related works dealing with estimation of various parameters with random sampling, like [5] for diffusions and [3] for Markov processes.”
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐form Approximation Approach (2002, methodology): “…(Gouriéroux, Monfort, and Renault (1993), Gallant and Tauchen (1996)), others on the generalized method of moments (Hansen and Scheinkman (1995), Duffie and Glynn (1997), Kessler and Sorensen 224 yacine aït-sahalia (1999)), nonparametric density-matching (Aït-Sahalia (1996a, 1996b)),…”