Reprojecting partially observed systems with application to interest rate diffusions

Journal of the American Statistical Association

Volumn 93, Issue 441, 1998, Pages 10-24

  Gallant, A Ronald ^a   Tauchen, George ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Efficient method of moments; Nonlinear dynamic models; Partially observed state; Stochastic differential equations

Indexed keywords

EID: 0032346647     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1998.10474083     Document Type: Article

References (51)

1. Aït-Sahalia, Y. (1996a), 'Testing Continuous-Time Models of the Spot Interest Rate," The Review of Financial Studies, 9, 385-426.
2. Aït-Sahalia, Y. (1996b), "Do Interest Rates Really Follow Continuous Time Markov Diffusions?' unpublished manuscript. University of Chicago, Graduate School of Business.
3. Andersen, T. G., Chung, H.-J., and Sorensen, B. E. (1997), "Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study." unpublished manuscript, Northwestern University, Kellogg School of Management.
4. Andersen, T. G., and Lund, J. (1997), "Estimating Continuous Time Stochastic Volatility Models of the Short-Term Interest Rate," Journal of Econometrics, 77, 343-378.
5. Andersen, T. G., and Lund, J. (1996), "Stochastic Volatility and Mean Drift in the Short-Rate Diffusion: Sources of Steepness, Level, and Curvature of the Yield Curve," unpublished manuscript. Northwestern University, Kellogg School of Management.
6. Bollerslev, T., and Engle, R. F. (1993), "Common Persistence in Conditional Variances," Econometrica, 61, 167-186.
7. Brenner, R. J., Harjes, R. H., and Kroner, K. F. (1994), "Another Look at Alternative Models of the Short-Term Interest Rate," unpublished manuscript. University of Arizona, Dept, of Economics.
8. Chan, K. C., Karolyi, G. A., Longstaff, F. A., and Sanders, A. B. (1992), "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, 47, 1209-1227.
9. Chumacero, R. (1997), "Finite-Sample Properties of the Efficient Method of Moments," unpublished manuscript, University of Chile, Dept, of Economics.
10. Conley, T., Hansen, L. P., Luttmer, E., and Scheinkman, J. A. (1997), "Estimating Subordinated Diffusions From Discrete Time Data," Review of Financial Studies, 10, 525-578.
11. Conley, T., Hansen, L. P., and Liu, W-F. (1997), "Bootstrapping Diffusion Models," Macroeconomic Dynamics, 1, 279-311.
12. Cox, J. C., Ingersoll, J. E., Jr., and Ross, S. A. (1985), "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-407.
13. Doan, T., Litterman, R., and Sims, C. (1984), "Forecasting and Conditional Projection Using Realistic Prior Distributions," Econometric Reviews, 3, 1-100.
14. Duffie, D., and Glynn, P. (1995), "Efficient Monte Carlo Simulation of Security Prices," Annals of Applied Probability, 5, 897-906.
15. Duffie, D., and Kan, R. (1996), "A Yield-Factor Model of Interest Rates," Mathematical Finance, 6, 379-406.
16. Duffie, D., and Singleton, K. J. (1993), "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, 61, 929-952.
17. Duffie, D., and Singleton, K. J. (1994), "Econometric Modeling of Term Structures of Defaultable Bonds " unpublished manuscript, Stanford University, Graduate School of Business.
18. Ellner, S., Gallant, A. R., and Theiler, J. (1995), "Detecting Nonlinear- ity and Chaos in Epidemic Data," in Epidemic Models: Their Structure and Relation to Data, ed. D. Mollison, Cambridge, U.K.: Cambridge University Press, pp. 229-247.
19. Engle, R. F., Ito, T., and Lin, W-L. (1990), "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58, 525-542.
20. Fenton, V. M., and Gallant, A. R. (1996), "Qualitative and Asymptotic Performance of SNP Density Estimators," Journal of Econometrics, 74, 77-118.
21. Gallant, A. R., and Long, J. R. (1997), "Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Squared," Biometrika, 84, 125-141.
22. Gallant, A. R., and Nychka, D. W. (1987), "Seminonparametric Maximum Likelihood Estimation," Econometrica, 55, 363-390.
23. Gallant, A. R., Rossi, P. E., and Tauchen, G. (1992), "Stock Prices and Volume," Review of Financial Studies, 5, 199-242.
24. Gallant, A. R., Rossi, P. E., and Tauchen, G. (1993), "Nonlinear Dynamic Structures," Econometrica, 61, 871- 907.
25. Gallant, A. R., and Tauchen, G. (1989), "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, 57, 1091-1120.
26. Gallant, A. R., and Tauchen, G. (1992), "A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation," in New Dimensions in Tune Series Analysis, Part II, eds. E. Parzen, D. Brillinger, M. Rosenblatt, M. Taqqu, J. Geweke, and P. Caines, New York: Springer-Verlag, pp. 71-92.
27. Gallant, A. R., and Tauchen, G. (1996a), "Which Moments to Match?" Econometric Theory, 12, 657-681.
28. Gallant, A. R., and Tauchen, G. (1996b), "Specification Analysis of Continuous Time Models in Finance," in Modeling Stock Market Volatility: Bridging the Gap to Continuous Time, ed. P. E. Rossi, New York: Academic Press, pp. 357-384.
29. Gallant, A. R., and Tauchen, G. (1996c), "Reprojecting Partially Observed Systems With Application to Interest Rate Diffusions from January 5. 1992, to March 31, 1995," unpublished manuscript, University of North Carolina, Dept, of Economics.
30. Gennotte, G., and Marsh, T. A. (1993), "Variations in Economic Uncertainty and Risk Premiums on Capital Assets," European Economic Review, 37, 1021-1041.
31. Ghyscls, E., Harvey, A., and Renault, E. (1995). "Stochastic Volatility," in Handbook of Statistics, Vol. 14, Statistical Methods in Finance, cd. G. S. Maddala, Amsterdam: North-Holland.
32. Gourieroux, C., and Monfort, A. (1996), Simulation-Based Econometric Methods, New York: Oxford University Press.
33. Gourieroux, C., Monfort, A., and Renault, E. (1993), "Indirect Inference," Journal of Applied Econometrics, 8, S85-S118.
34. Hansen, L. P., and Scheinkman, J. A. (1995), "Back to the Future: Generating Moment Implications for Continuous-Time Markov Process," Econometrica, 50, 1029-1054.
35. Ingersoll, J. E., Jr. (1987), Theory of Financial Decision Making, Savage, MD: Rowman and Littlefield.
36. Ingram, B. F., and Lee, B. S. (1991), "Simulation Estimation of Time Series Models," Journal of Econometrics, 47, 197-250.
37. Jacquier, E., Poison, N. G., and Rossi, P. E. (1994), "Bayesian Analysis of Stochastic Volatility Models," Journal of Business and Economic Statistics, 12, 371-417.
38. Johnson, N. L., and Kotz, S. (1970), Distributions in Statistics: Continuous Univariate Distributions-1, New York: Wiley.
39. Karatzas, I., and Shreve, S. E. (1991), Brownian Motion and Stochastic Calculus (2nd ed.), Berlin: Springer-Verlag.
40. Kloeden, P. E., and Platen, E. (1992), Numerical Solution of Stochastic Differential Equations, Berlin: Springer-Verlag.
41. Lo, A. W. (1988), "Maximum Likelihood Estimation of Generalized Ito Process With Discretely Sampled Data," Econometric Theory, 4, 231-247.
42. Mallet, A., Mentn S.F., Steimer, J-L., and Lokiec, F. (1988), "Nonparametric Maximum Likelihood Estimation for Population Pharmacokinetics. With Application to Cyclosporine," Journal of Pharmacokinetics and Biopharmaceutics, 16, 311-327.
43. Melino, A. (1994), "Estimation of Continuous Time Models in Finance," in Advances in Econometrics, Sixth World Congress, Vol. II, ed. C. A. Sims, Cambridge, U.K.: Cambridge University Press.
44. Nelson, D. B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, 59, 347-370.
45. Olsen, L. F., and Schaffer, W. M. (1990), "Chaos Versus Noisy Periodicity: Alternative Hypotheses for Childhood Epidemics," Science, 249, 499-504.
46. Schwarz, G. (1978), "Estimating the Dimension of a Model," The Annals of Statistics, 6, 461-464.
47. Sims, C. A. (1980), "Macroeconomics and Reality," Econometrica, 48, 1-48.
48. Smith, A. A. (1993), "Estimation Nonlinear Time Series Models Using Simulated Vector Autoregressions Journal of Applied Econometrics, 8, S63-S84.
49. Tauchen, G. (1997a), "New Minimum Chi-Square Methods in Empirical Finance," in Advances in Econometrics, Seventh World Congress, eds. D. Kreps and K. Wallis, Cambridge. U.K.: Cambridge University Press, pp. 279-317.
50. Tauchen, G. (1997b), 'The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space," submitted to Review of Economics and Statistics.
51. Vasicek, O. (1977), "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-188.