CHAPTER 4 – Estimating Functions for Discretely Sampled Diffusion-Type Models
By Bo Martin Bibby, Martin Jacobsen, Michael SØrensen. 2010
77 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/38add6ad0fef7ad54ed2d7adab08de41a0ec2eda
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In Economics and Econometrics
- Konstantinos Fokianos
- A. C. Davison
- Xanthi Pedeli
- Raphaël Huser
- Emeric Thibaud
- A. Ahmad
- Christian Francq
- Thomas Opitz
In Finance
- Konstantinos Fokianos
- A. C. Davison
- Xanthi Pedeli
- Raphaël Huser
- Thomas Opitz
- Emeric Thibaud
- Marc G. Genton
- Mathieu Ribatet
Citations in the corpus
- Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “The approaches range from likelihood approximation using Bayesian data augmentation (Roberts and Stramer, 2001; Elerian et al., 2001; Eraker, 2001; Jones, 1998), estimating functions (Bibby et al., 2004), up to the efficient method of moment Gallant and Tauchen (2009).”
- Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation (2015, methodology): “Since the saddlepoint-based log-likelihood function can be approximated by a Gaussian loglikelihood, the continuous-time methods of Aı̈t-Sahalia (2002, 2008) and Bibby, Jacobsen, and Sørensen (2010) might be suitably adapted to our setup, though doing so is outside the scope of the present article.”