Spectral GMM estimation of continuous-time processes

Journal of Econometrics

Volumn 116, Issue 1-2, 2003, Pages 259-292

  Chacko, George ^a   Viceira, Luis M ^a  

^a HARVARD UNIVERSITY   (United States)

Author keywords

Affine models; Characteristic function GMM; Continuous time estimation; Jump diffusion process; Spectral GMM; Stochastic volatility

Indexed keywords

DIFFUSION; ECONOMICS; ESTIMATION; FUNCTIONS; MATHEMATICAL MODELS; METHOD OF MOMENTS;

CONTINUOUS-TIME ESTIMATION; STOCHASTIC VOLATILITY;

RANDOM PROCESSES;

EID: 0242473436     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00109-X     Document Type: Article

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