Efficient estimation of general dynamic models with a continuum of moment conditions
By M. Carrasco, Mikhail Chernov, Jean-Pierre Florens, Eric Ghysels. 2007
138 citations recorded by the source corpus.
Subfields: Control and Systems Engineering, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/1378e917c7c89452dbddf6b97cbd00107a60e85a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Control and Systems Engineering
In Finance
- Martino Grasselli
- J. D. da Fonseca
- Q. Vuong
- M. Carrasco
- Ivana Komunjer
- Liangjun Su
- Dongming Zhu
- James W. Taylor
In Statistics and Probability
- Martino Grasselli
- J. D. da Fonseca
- Q. Vuong
- M. Carrasco
- Ivana Komunjer
- Jean-Pierre Florens
- Liangjun Su
- Juan-Carlos Escanciano
Citations in the corpus
- SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES (2009, background): “1 Carrasco and Florens (2004) and Carrasco, Chernov, Florens, and Ghysels (2007) study semiparametric”
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan (2007, unknown): “Generalized method of moments estimation (Hansen and Scheinkman, 1995; Kessler and Sørensen, 1999; Duffie and Glynn, 2004; Carrasco et al., 2007) has also been proposed to sidestep likelihood evaluation.”
- Riding on the smiles (2011, methodology): “We will delve more deeply into this problem in future work. series of indexes and the empirical characteristic function methodology proposed by Carrasco et al. (2007) and by aggregating the parameters we computed the Heston equivalent volatility of volatility.y If we carry out the same computations…”
- The Realized Laplace Transform of Volatility (2011, unknown): “First, the use of the empirical characteristic function of the returns in estimation dates as early as Feuerverger and Mureika (1977) and more recent contributions include Singleton (2001) and Carrasco et al. (2007) (in which the conditional characteristic function is being used).”
- A regularization approach to the many instruments problem (2012, methodology): “The GMM estimator is also implementable in a time-series context as shown in Carrasco et al. (2007). But again, the MSE would be difficult to derive.”