The cumulant generating function estimation method: Implementation and asymptotic efficiency

Econometric Theory

Volumn 13, Issue 2, 1997, Pages 170-184

  Knight, John L ^a   Satchell, Stephen E ^b  

^a UNIVERSITY OF WESTERN ONTARIO   (Canada)

^b TRINITY COLLEGE DUBLIN   (Ireland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031523691     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600005715     Document Type: Article

References (9)

1. Feuerverger, A. (1990) An efficiency result for the empirical characteristic function in stationary time series models. Canadian Journal of Statistics 18, 155-161.
2. Feuerverger, A. & P. McDunnough (1981a) On some Fourier methods for inference. Journal of the American Statistical Association 76, 379-387.
3. Feuerverger, A. & P. McDunnough (1981b) On the efficiency of the empirical characteristic function procedures. Journal of the Royal Statistical Society, Series B 43, 20-27.
4. Feuerverger, A. & R. Mureika (1977) The empirical characteristic function and its applications. Annals of Statistics 5, 88-97.
5. Jorion, P. (1988) On jump processes in the foreign exchange and stock markets. Review of Financial Studies 1, 427-445.
6. Knight, J.L. & S.E. Satchell (1993) GARCH Processes - Via Compound Poisson Processes. Mimeo, University of Western Ontario.
7. Knight, J.L. & S.E. Satchell (1994). Estimation of stationary stochastic processes via the empirical characteristic function. Mimeo, University of Western Ontario, London, Ontario.
8. Quandt, R. & J. Ramsey (1978) Estimating mixtures of Normal distributions and switching regressions. Journal of the American Statistical Association 73, 730-738.
9. Schmidt, P. (1982) An improved version of the Quandt-Ramsey mgf estimator for mixtures of Normal distributions and switching regressions. Econometrica 50, 501-516.