Estimation of continuous-time processes via the empirical characteristic function

Journal of Business and Economic Statistics

Volumn 20, Issue 2, 2002, Pages 198-212

  Jiang, George J ^a   Knight, John L ^a  

^a YORK UNIVERSITY   (Canada)

Author keywords

Affine diffusion; Affine jump diffusion; Empirical characteristic function; Generalized method of moments; Stochastic volatility

Indexed keywords

EID: 0036005156     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500102317351958     Document Type: Article

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