Parameter Estimation for a Discretely Observed Integrated Diffusion Process

By Arnaud Gloter. 2006

72 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/4172c42065887cadfd41c0bd37d70260071bb4cc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Susanne Ditlevsen
2. Michael SØrensen
3. Bo Martin Bibby
4. Masayuki Uchida
5. Arnaud Gloter
6. Hongwei Long
7. Chunhua Ma
8. Yasutaka Shimizu

In Mathematical Physics

1. Susanne Ditlevsen
2. Michael SØrensen
3. Masayuki Uchida

In Statistics and Probability

1. Susanne Ditlevsen
2. Michael SØrensen

Citations in the corpus

• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008, unknown): “Estimation based on data of the type (28) was considered by Gloter (2000), Bollerslev & Zhou (2002), Ditlevsen & Sørensen (2004) and Gloter (2006).”
• Inference for Observations of Integrated Diffusion Processes (2004, background): “In Gloter (1999a) minimum contrast estimators are considered that are consistent when the length of the sampling interval goes to zero as the number of observations go to infinity.”