EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
By John Knight, Jun Yu. Econometric Theory, 2001
102 citations recorded by the source corpus.
Subfields: Control and Systems Engineering
View Paper: https://www.semanticscholar.org/paper/60ca38e4fa5619ba841590e2c76447b99a2f1aad
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In Control and Systems Engineering
Citations in the corpus
- Empirical Characteristic Function Estimation and Its Applications (2004, unknown): “To link the ECF method to GMM, define the following function based on the ECF, h(r,Xj;θ) = exp(irXj)− c(r;θ).”
- 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)).”
- A multivariate Ornstein-Uhlenbeck type stochastic volatility model (2009, background): “In particular, as discussed in Knight and Yu (2002) or Singleton (2001) the characteristic function method requires a fully specified parametric matrix subordinator and is computationally demanding as the unobserved stochastic volatility process needs to be integrated out.”
- Jackknifing Bond Option Prices (2005, unknown): “... and Singleton (1993)] and its refinement EMM [Gallant and Tauchen (1996)], indirect inference [Gourieroux, Monfort and Renault (1993)], continuous time GMM [Hansen and Scheikman (1995)], approximate ML [Ao¨t-Sahalia (2002, 2003), Duffie, Pedersen, and Singleton (2003)], simulated ML [Pedersen (1”
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method (2002, unknown): “Under standard regularity conditions, Knight & Yu (2002) establish the strong consistency and asymptotic normality for the ECF estimators with a general weight function.”
- Estimation methods for stochastic volatility models: a survey (2004, background): “Knight and Yu (2002) establishes the strong consistency and asymptotic normality for the ECF estimators with a general weight function.”
- Estimation of affine asset pricing models using the empirical characteristic function (2001, background): “The tractability of pricing in affine models has expanded substantially the class of asset pricing models that have been studied econometrically. Yet, outside of the special cases of Gaussian and square-root diffusions,(2) where the conditional densities of the discretely sampled returns are also kn”