Estimation of affine asset pricing models using the empirical characteristic function

By Kenneth J. Singleton. 2001

397 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/807d6acaf16e5a50454c90936c291684602440f9

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Citations in the corpus

Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, neutral): “Only few of them make use of the properties of affine models, however (e.g. Singleton, 2001; Bates, 2006).”
Estimation of Continuous-Time Processes via the Empirical Characteristic Function (2002, background): “November 1985 to October 1994 respectively. Singleton (1999) estimated the SV model”
Estimating affine multifactor term structure models using closed-form likelihood expansions (2010, neutral): “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.”
Jump Starting GARCH: Pricing and Hedging Options With Jumps in Returns and Volatilities (2006, positive): “By turning off jumps, the limiting model nests the square root stochastic volatility model given in Scott (1987) and Heston (1993).”
Volatility estimators for discretely sampled Lévy processes (2007, background): “equation (see, e.g., [8, 10, 18, 19 ] and Chapter 4 in [23]), maximum likelihood by Fourier inversion of the characteristic function (see [9]), a regression based on the explicit form of the characteristic function (see [14]) or other numerical approximations (see [16, 17]).”
Spectral GMM Estimation of Continuous-Time Processes (2003, positive): “16 Finally, it is important to remember that the loss of e2ciency relative to Singleton (2001) and Jiang and Knight (2002) occurs only with latent variable models and not generally with observable multi-factor models or jump–di6usion based models.”
Estimation methods for stochastic volatility models: a survey (2004, methodology): “Singleton (2001), Speci cation Analysis of A ne Term Structure Models, Journal of Finance, 55, 1943-1978.”
Empirical Characteristic Function Estimation and Its Applications (2004, neutral): “In particular, to develop the asymptotic properties of the ECCF estimator, Singleton (2001) makes use of the same set of assumptions as in Hansen (1982).”
The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008, neutral): “Bollerslev & Zhou (2002). Estimation based on data of the type (4.”
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2006, methodology): “Singleton (2001), Jiang and Knight (2002), and Chacko and Viciera (2003) have revisited the idea of utilising the Fokker-Planck equation in a procedure to estimate the parameters of SDEs.”
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (2003, background): “The correlation integral–based test by Brock et al+ ~1991, 1996! has been recently proposed as a portmanteau test for the adequacy of nonlinear time series models+ The test has the nice “nuisance-parameter-free” property in the sense that parameter estimation uncertainty of conditional mean models h”