Spectral GMM Estimation of Continuous-Time Processes

By George K. Chacko, Luis M. Viceira. 2003

296 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1d5400029e337570ad925ae79df7785b4c1a11b6

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Citations in the corpus

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)).”
Empirical reverse engineering of the pricing kernel (2003, background): “13 The alternative strategies based on the characteristic function ( Chacko and Viceira, 2003; Jiangand”
Asset Pricing under the Quadratic Class (2002, background): “Chacko (1999) and Chacko and Viceira (2000) also propose a spectral generalized methods of moments estimation technique based on the characteristic function.”
Estimating affine multifactor term structure models using closed-form likelihood expansions (2010, unknown): “Chacko and Viceira (2001) and Singleton (2001) consider estimation methods based on moments derived from the characteristic function of the transition density which is known in closed-form for affine diffusions, even though the density is not.”
The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008, unknown): “Singleton (2001), Chacko & Viceira (2003) and Carrasco et al. (2002).”
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002, methodology): “Methods based on the empirical characteristic function have been proposed by Chacko and Viceira (1998) and Singleton (1997).”
The MIDAS Touch: Mixed Data Sampling Regression Models (2004, unknown): “by Alizadeh, Brandt, and Diebold (2002), Chacko and Viceira (1999) , Gallant, Hsu, and”
The dynamics of stochastic volatility: evidence from underlying and options markets (2003, methodology): “, this constant of elasticity of variance (CEV) speci;cation has been investigated in interest rates in a number of papers, and has been applied to stochastic variance processes by Chacko and Viceira (2001) and Lewis (2000). In empirical analysis of US short-term interest rates, starting with Chan e”
Alternative models for stock price dynamics (2003, unknown): “(2002), Chacko and Viceira (1999), Gallant et al. (1999) and the two-factor GARCH model of Engle and Lee (1999). 4 We use the terminology “feedback” to refer to a feature of the latent factors.”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, methodology): “In the literature, it actually ranges from -0.27 (Rockinger and Semenova, 2005) to -0.62 (Chacko and Viceira, 2003), which is close to what is obtained here.”