1. Maximum-Likelihood Estimation Using the Zig-Zag Algorithm*. (2023). Hautsch, Nikolaus ; Okhrin, Ostap ; Ristig, Alexander.
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2. SGMM: Stochastic Approximation to Generalized Method of Moments. (2023). Shin, Youngki ; Lee, Sokbae (Simon) ; Liao, Yuan ; Chen, Xiaohong ; Song, Myunghyun ; Seo, Myung Hwan.
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3. Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models. (2021). Kapetanios, George ; Hacioglu Hoke, Sinem.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:36:y:2021:i:1:p:125-150.

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4. Recursive estimation in large panel data models: Theory and practice. (2021). hsiao, cheng ; GAO, Jiti ; Yang, Yanrong ; Jiang, Bin.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:224:y:2021:i:2:p:439-465.

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5. Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models. (2020). De Blander, Rembert.
   In: Econometrics and Statistics.
   RePEc:eee:ecosta:v:15:y:2020:i:c:p:3-29.

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6. Quantifying the transmission of European sovereign default risk. (2019). Holden, Tom ; DUMITRU, ANA-MARIA.
   In: EconStor Preprints.
   RePEc:zbw:esprep:193632.

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7. Unified inference for nonlinear factor models from panels with fixed and large time span. (2019). Andersen, Torben ; Todorov, Viktor ; Varneskov, Rasmus T ; Fusari, Nicola.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:212:y:2019:i:1:p:4-25.

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8. The Identification Zoo - Meanings of Identification in Econometrics. (2019). Lewbel, Arthur.
   In: Boston College Working Papers in Economics.
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9. The Identification Zoo: Meanings of Identification in Econometrics. (2019). Lewbel, Arthur.
   In: Journal of Economic Literature.
   RePEc:aea:jeclit:v:57:y:2019:i:4:p:835-903.

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10. Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Kapetanios, George ; Dias, Gustavo Fruet.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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11. Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Todorov, Viktor ; Varneskov, Rasmus T ; Fusari, Nicola.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-03.

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12. A Hawkes model of the transmission of European sovereign default risk. (2017). Holden, Tom ; DUMITRU, ANA-MARIA.
    In: EconStor Conference Papers.
    RePEc:zbw:esconf:168431.

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13. Efficient two-step estimation via targeting. (2017). Renault, Eric ; Frazier, David T.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:2:p:212-227.

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14. Intensity of default in sovereign bonds: Estimation of an unobservable process. (2016). Otero, Karina V.
    In: MPRA Paper.
    RePEc:pra:mprapa:86782.

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15. Estimation of Nonlinear Panel Models with Multiple Unobserved Effects. (2016). Chen, Mingli.
    In: Economic Research Papers.
    RePEc:ags:uwarer:269326.

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16. The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models. (2015). Christensen, Bent Jesper ; Andreasen, Martin M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:2:p:420-451.

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17. Indirect inference in structural econometric models. (2010). Li, Tong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:1:p:120-128.

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18. Large Sample Sieve Estimation of Semi-Nonparametric Models. (2007). Chen, Xiaohong.
    In: Handbook of Econometrics.
    RePEc:eee:ecochp:6b-76.

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19. Stochastic volatility. (2005). Shephard, Neil.
    In: Economics Series Working Papers.
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20. Stochastic Volatility. (2005). Shephard, Neil.
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21. Simulated nonparametric estimation of dynamic models with applications to finance. (2005). Mele, Antonio ; Altissimo, Filippo.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24658.

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22. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

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30. Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview. (2005). .
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31. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations. (2005). Yu, Jun ; Phillips, Peter.
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32. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions. (2005). Phillips, Peter ; Bandi, Federico M..
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33. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). To, Thuy-Duong ; Bhar, Ram.
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34. PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME. (2004). Londoño, Jaime.
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35. Maximum Likelihood Estimation of Stochastic Volatility Models. (2004). Ait-Sahalia, Yacine ; Kimmel, Robert.
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36. On the statistical estimation of diffusion processes - a partial survey. (2004). Cysne, Rubens.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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37. On the statistical estimation of diffusion processes: a survey. (2004). Cysne, Rubens.
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38. A genetic estimation algorithm for parameters of stochastic ordinary differential equations. (2004). Alcock, Jamie ; Burrage, Kevin.
    In: Computational Statistics & Data Analysis.
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39. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
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40. Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility. (2003). Steel, Mark ; Griffin, James E..
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41. Bootstrap Specification Tests for Diffusion Processes. (2003). Swanson, Norman ; Corradi, Valentina.
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42. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
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43. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes. (2003). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome.
    In: CIRANO Working Papers.
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44. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). To, Thuy Duong ; Bhar, Ram.
    In: Research Paper Series.
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45. Closed-Form Likelihood Expansions for Multivariate Diffusions. (2002). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
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46. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2002). Ait-Sahalia, Yacine ; Kimmel, Robert.
    In: NBER Technical Working Papers.
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47. Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey.. (2002). Sorensen, Helle.
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48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
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49. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
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50. An Eigenfunction Approach for Volatility Modeling. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
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