create a website

Contrast estimation for noisy observations of diffusion processes via closed-form density expansions. (2022). el Kolei, Salima ; Navarro, Fabien.
In: Statistical Inference for Stochastic Processes.
RePEc:spr:sistpr:v:25:y:2022:i:2:d:10.1007_s11203-021-09256-2.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 50

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aït-Sahalia Y (1999) Transition densities for interest rate and other nonlinear diffusions. J Financ 54(4):1361–1395.
    Paper not yet in RePEc: Add citation now
  2. Aït-Sahalia Y (2002) Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach. Econometrica 70(1):223–262.
    Paper not yet in RePEc: Add citation now
  3. Aït-Sahalia Y (2008) Closed-form likelihood expansions for multivariate diffusions. Ann Stat 36(2):906–937.
    Paper not yet in RePEc: Add citation now
  4. Aït-Sahalia Y, Kimmel R (2007) Maximum likelihood estimation of stochastic volatility models. J Financ Econ 83(2):413–452.

  5. Bakshi G, Ju N (2005) A refinement to Aït-Sahalia’s (2002) Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach. J Bus 78(5):2037–2052.

  6. Baltazar-Larios F, Sørensen M (2010) Maximum likelihood estimation for integrated diffusion processes. Contemporary quantitative finance. Springer, Berlin, pp 407–423.
    Paper not yet in RePEc: Add citation now
  7. Bertail P, Clémençon S (2008) Approximate regenerative-block bootstrap for Markov chains. Comput Stat Data Anal 52(5):2739–2756.

  8. Beskos A, Papaspiliopoulos O, Roberts GO, Fearnhead P (2006) Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion). J R Stat Soc Ser B (Stat Methodol) 68(3):333–382.

  9. Boyd JP (2018) Dynamics of the equatorial ocean. Springer, Berlin.
    Paper not yet in RePEc: Add citation now
  10. Brandt MW, Santa-Clara P (2002) Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets. J Financ Econ 63(2):161–210.

  11. Brunel E, Comte F, Lacour C (2007) Adaptive estimation of the conditional density in the presence of censoring. Sankhyā Indian J Stat 69:734–763.
    Paper not yet in RePEc: Add citation now
  12. Choi S (2015) Explicit form of approximate transition probability density functions of diffusion processes. J Econom 187(1):57–73.

  13. Dacunha-Castelle D, Duflo M (1982) Probabilités et statistiques: problèmes à temps fixe, vol 1. Masson.
    Paper not yet in RePEc: Add citation now
  14. Dedecker J, Samson A, Taupin M-L (2014) Estimation in autoregressive model with measurement error. ESAIM Prob Stat 18:277–307.
    Paper not yet in RePEc: Add citation now
  15. Doukhan P (1994) Mixing. volume 85 of Lecture notes in statistics. Springer, New York (Properties and examples).
    Paper not yet in RePEc: Add citation now
  16. Egorov AV, Li H, Xu Y (2003) Maximum likelihood estimation of time-inhomogeneous diffusions. J Econom 114(1):107–139.

  17. El Kolei S, Pelgrin F (2017) Parametric inference of autoregressive heteroscedastic models with errors in variables. Stat Prob Lett 130:63–70.

  18. Favetto B (2014) Parameter estimation by contrast minimization for noisy observations of a diffusion process. Statistics 48(6):1344–1370.
    Paper not yet in RePEc: Add citation now
  19. Favetto B (2016) Estimating functions for noisy observations of ergodic diffusions. Stat Infer Stoch Process 19(1):1–28.
    Paper not yet in RePEc: Add citation now
  20. Florens-Zmirou D (1989) Approximate discrete-time schemes for statistics of diffusion processes. Stat J Theor Appl Stat 20(4):547–557.
    Paper not yet in RePEc: Add citation now
  21. Genon-Catalot V, Jacod J (1993) On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Annales de l’IHP Probabilités et statistiques 29:119–151.
    Paper not yet in RePEc: Add citation now
  22. Genon-Catalot V, Jeantheau T, Laredo C (1999) Parameter estimation for discretely observed stochastic volatility models. Bernoulli 5(5):855–872.
    Paper not yet in RePEc: Add citation now
  23. Genon-Catalot V, Jeantheau T, Larédo C (2000) Stochastic volatility models as hidden Markov models and statistical applications. Bernoulli 6(6):1051–1079.
    Paper not yet in RePEc: Add citation now
  24. Gloter A (2006) Parameter estimation for a discretely observed integrated diffusion process. Scand J Stat 33(1):83–104.

  25. Hansen LP, Scheinkman JA, Touzi N (1998) Spectral methods for identifying scalar diffusions. J Econom 86(1):1–32.

  26. Honoré P (1997) Maximum likelihood estimation of non-linear continuous-time term-structure models. Available at SSRN 7669.
    Paper not yet in RePEc: Add citation now
  27. Hurn A, Jeisman J, Lindsay K (2005) ML estimation of the parameters of sde’s by numerical solution of the Fokker–Planck equation. In: MODSIM 2005: international congress on modelling and simulation: advances and applications for management and decision making, pp 849–855. Citeseer.
    Paper not yet in RePEc: Add citation now
  28. Jensen B, Poulsen R (2002) Transition densities of diffusion processes: numerical comparison of approximation techniques. J Derivat 9(4):18–32.
    Paper not yet in RePEc: Add citation now
  29. Kessler M (1997) Estimation of an ergodic diffusion from discrete observations. Scand J Stat 24(2):211–229.
    Paper not yet in RePEc: Add citation now
  30. Kessler M (2000) Simple and explicit estimating functions for a discretely observed diffusion process. Scand J Stat 27(1):65–82.

  31. Kessler M, Lindner A, Sorensen M (2012) Statistical methods for stochastic differential equations. Chapman and Hall/CRC, Boca Raton.
    Paper not yet in RePEc: Add citation now
  32. Lacour C (2007) Adaptive estimation of the transition density of a Markov chain. Annales de l’IHP Probabilités et statistiques 43:571–597.
    Paper not yet in RePEc: Add citation now
  33. Lacour C (2008) Adaptive estimation of the transition density of a particular hidden Markov chain. J Multivar Anal 99(5):787–814.

  34. Lacour C (2008) Least squares type estimation of the transition density of a particular hidden Markov chain. Electron J Stat 2:1–39.
    Paper not yet in RePEc: Add citation now
  35. Lacour C (2008) Nonparametric estimation of the stationary density and the transition density of a Markov chain. Stoch Process Appl 118(2):232–260.

  36. Lee YD, Song S, Lee E-K (2014) The delta expansion for the transition density of diffusion models. J Econom 178:694–705.

  37. Li C (2013) Maximum-likelihood estimation for diffusion processes via closed-form density expansions. Ann Stat 41(3):1350–1380.
    Paper not yet in RePEc: Add citation now
  38. Lo AW (1988) Maximum likelihood estimation of generalized Itô processes with discretely sampled data. Econom Theor 4(2):231–247.

  39. Pedersen AR (1995) A new approach to maximum likelihood estimation for stochastic differential equations based on discrete observations. Scand J Stat 22:55–71.
    Paper not yet in RePEc: Add citation now
  40. Pedersen AR (1995) Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes. Bernoulli 1:257–279.
    Paper not yet in RePEc: Add citation now
  41. Picchini U, Samson A (2018) Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models. Comput Stat 33(1):179–212.

  42. Rogers L (1982) Stochastic differential equations and diffusion processes: Nobuyuki Ikeda and Shinzo Watanabe. North-Holland, Amsterdam, 1981, xiv+ 464 pp, dfl. 175.00. Rogers L, Williams D, Diffusions, Markov processes and martingales, vol 2, 2 ed. Cambridge Mathematical Library, Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  43. Särkkä S, Hartikainen J, Mbalawata IS, Haario H (2015) Posterior inference on parameters of stochastic differential equations via non-linear gaussian filtering and adaptive MCMC. Stat Comput 25(2):427–437.
    Paper not yet in RePEc: Add citation now
  44. Sermaidis G, Papaspiliopoulos O, Roberts GO, Beskos A, Fearnhead P (2013) Markov chain Monte Carlo for exact inference for diffusions. Scand J Stat 40(2):294–321.

  45. Singer H (2006) Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models. Comput Stat 21(3–4):385–397.

  46. Sørensen M (2009) Parametric inference for discretely sampled stochastic differential equations. Springer, Berlin, Heidelberg, pp 531–553.
    Paper not yet in RePEc: Add citation now
  47. Stramer O, Yan J (2007) On simulated likelihood of discretely observed diffusion processes and comparison to closed-form approximation. J Comput Graph Stat 16(3):672–691.
    Paper not yet in RePEc: Add citation now
  48. Von Neumann J (1941) Distribution of the ratio of the mean square successive difference to the variance. Ann Math Stat 12(4):367–395.
    Paper not yet in RePEc: Add citation now
  49. Wong E (1964) The construction of a class of stationary Markoff processes. Stoch Process Math Phys Eng 17:264–276.
    Paper not yet in RePEc: Add citation now
  50. Yoshida N (1992) Estimation for diffusion processes from discrete observation. J Multivar Anal 41(2):220–242.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. (2013). Fengler, Matthias ; Audrino, Francesco.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2013:11.

    Full description at Econpapers || Download paper

  2. Studying International Spillovers in a New Keynesian Continuous Time Framework with Financial Markets. (2013). Hayo, Bernd ; Niehof, Britta .
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:201342.

    Full description at Econpapers || Download paper

  3. Efficient Estimation Using the Characteristic Function. (2013). Kotchoni, Rachidi ; Carrasco, Marine.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00867850.

    Full description at Econpapers || Download paper

  4. Stock price dynamics and option valuations under volatility feedback effect. (2013). Piche, Robert ; Kanniainen, Juho.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:4:p:722-740.

    Full description at Econpapers || Download paper

  5. Density approximations for multivariate affine jump-diffusion processes. (2013). Schneider, Paul ; Mayerhofer, Eberhard ; Filipovi, Damir.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:2:p:93-111.

    Full description at Econpapers || Download paper

  6. A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions. (2013). Hurn, Stan ; Lindsay, K. A. ; McClelland, A. J..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:1:p:106-126.

    Full description at Econpapers || Download paper

  7. Estimating Stochastic Volatility Models using Prediction-based Estimating Functions. (2013). Lunde, Asger ; Brix, Anne Floor.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-23.

    Full description at Econpapers || Download paper

  8. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2012). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
    In: Working Papers.
    RePEc:siu:wpaper:12-2012.

    Full description at Econpapers || Download paper

  9. Estimating the Parameters of Stochastic Volatility Models using Option Price Data. (2012). Hurn, Stan ; Lindsay, Ken ; McClelland, Andrew .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2012_11.

    Full description at Econpapers || Download paper

  10. Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions. (2012). Kaeck, Andreas ; Alexander, Carol.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:11:p:3110-3121.

    Full description at Econpapers || Download paper

  11. Testing for jumps in noisy high frequency data. (2012). Ait-Sahalia, Yacine ; At-Sahalia, Yacine ; Jacod, Jean.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:207-222.

    Full description at Econpapers || Download paper

  12. Estimation of dynamic models with nonparametric simulated maximum likelihood. (2012). Shin, Yongseok ; Kristensen, Dennis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:1:p:76-94.

    Full description at Econpapers || Download paper

  13. Warrant pricing under GARCH diffusion model. (2012). Wu, Xin-Yu ; Wang, Shou-Yang ; Ma, Chao-Qun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2237-2244.

    Full description at Econpapers || Download paper

  14. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation. (2012). Meddahi, Nour ; Feunou, Bruno ; Christoffersen, Peter ; Jacobs, Kris.
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-34.

    Full description at Econpapers || Download paper

  15. Stock Price Dynamics and Option Valuations under Volatility Feedback Effect. (2012). Robert Pich'e, ; Kanniainen, Juho.
    In: Papers.
    RePEc:arx:papers:1209.4718.

    Full description at Econpapers || Download paper

  16. GARCH Option Valuation: Theory and Evidence. (2012). Christoffersen, Peter ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-50.

    Full description at Econpapers || Download paper

  17. How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?. (2011). Veraart, Almut.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291.

    Full description at Econpapers || Download paper

  18. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2011). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
    In: Working Papers.
    RePEc:siu:wpaper:10-2011.

    Full description at Econpapers || Download paper

  19. In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008. (2011). Swanson, Norman ; Cai, Lili.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201102.

    Full description at Econpapers || Download paper

  20. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chen, Song Xi ; Chang, Jinyuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:46279.

    Full description at Econpapers || Download paper

  21. Testing option pricing models: complete and incomplete markets. (2011). Verchenko, Olesia.
    In: Discussion Papers.
    RePEc:kse:dpaper:38.

    Full description at Econpapers || Download paper

  22. Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models. (2011). Mele, Antonio ; Kristensen, Dennis.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:2:p:390-415.

    Full description at Econpapers || Download paper

  23. In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008. (2011). Swanson, Norman ; Cai, Lili.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:743-764.

    Full description at Econpapers || Download paper

  24. Maximum likelihood estimation of non-affine volatility processes. (2011). Chourdakis, Kyriakos ; Dotsis, George.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:533-545.

    Full description at Econpapers || Download paper

  25. Bias in estimating multivariate and univariate diffusions. (2011). Yu, Jun ; Wang, Xiaohu ; Phillips, Peter ; Phillips, Peter C. B., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:228-245.

    Full description at Econpapers || Download paper

  26. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:235-245.

    Full description at Econpapers || Download paper

  27. Estimation of objective and risk-neutral distributions based on moments of integrated volatility. (2011). Renault, Eric ; Garcia, René ; Pastorello, Sergio ; Lewis, Marc-Andre .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:22-32.

    Full description at Econpapers || Download paper

  28. Forecasting volatility: does continuous time do better than discrete time?. (2011). Veiga, Helena ; Breto, Carles.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws112518.

    Full description at Econpapers || Download paper

  29. Nonparametric estimation for a stochastic volatility model. (2010). Rozenholc, Y. ; Genon-Catalot, V. ; Comte, F..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:1:p:49-80.

    Full description at Econpapers || Download paper

  30. Properties of Foreign Exchange Risk Premia. (2010). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
    In: MPRA Paper.
    RePEc:pra:mprapa:21302.

    Full description at Econpapers || Download paper

  31. A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24.

    Full description at Econpapers || Download paper

  32. Estimating affine multifactor term structure models using closed-form likelihood expansions. (2010). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:113-144.

    Full description at Econpapers || Download paper

  33. Misreaction or misspecification? A re-examination of volatility anomalies. (2010). Tian, Yisong S. ; Jiang, George J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:10:p:2358-2369.

    Full description at Econpapers || Download paper

  34. A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation. (2010). Li, Minqiang.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:2:p:132-157.

    Full description at Econpapers || Download paper

  35. Jump and volatility risk premiums implied by VIX. (2010). Duan, Jin-Chuan ; Yeh, Chung-Ying.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2232-2244.

    Full description at Econpapers || Download paper

  36. Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models. (2009). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
    In: Working Papers.
    RePEc:siu:wpaper:20-2009.

    Full description at Econpapers || Download paper

  37. A study about the existence of the leverage effect in stochastic volatility models. (2009). Florescu, Ionu ; Psric, Cristian Gabriel .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:388:y:2009:i:4:p:419-432.

    Full description at Econpapers || Download paper

  38. Empirical asset pricing with nonlinear risk premia. (2009). Schneider, Paul ; Mijatovic, Aleksandar.
    In: Papers.
    RePEc:arx:papers:0911.0928.

    Full description at Econpapers || Download paper

  39. High frequency market microstructure noise estimates and liquidity measures. (2009). Ait-Sahalia, Yacine ; Yu, Jialin.
    In: Papers.
    RePEc:arx:papers:0906.1444.

    Full description at Econpapers || Download paper

  40. Stochastic volatility and stochastic leverage. (2009). Veraart, Almut.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-20.

    Full description at Econpapers || Download paper

  41. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  42. Simulated maximum likelihood for general stochastic volatility models: a change of variable approach. (2008). Kleppe, Tore ; Skaug, Hans J..
    In: MPRA Paper.
    RePEc:pra:mprapa:12022.

    Full description at Econpapers || Download paper

  43. A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation. (2008). Li, Minqiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:11185.

    Full description at Econpapers || Download paper

  44. A Gaussian approximation scheme for computation of option prices in stochastic volatility models. (2008). Gallant, A. ; Ji, Chuanshu ; Lee, Beom S. ; Cheng, Ai-Ru.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:1:p:44-58.

    Full description at Econpapers || Download paper

  45. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-19.

    Full description at Econpapers || Download paper

  46. Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-58.

    Full description at Econpapers || Download paper

  47. Efficient estimation of drift parameters in stochastic volatility models. (2007). Gloter, Arnaud.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:4:p:495-519.

    Full description at Econpapers || Download paper

  48. An empirical comparison of continuous-time models of implied volatility indices. (2007). Skiadopoulos, George ; Dotsis, George ; Psychoyios, Dimitris.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3584-3603.

    Full description at Econpapers || Download paper

  49. Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan. (2007). Yu, Jialin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:1245-1280.

    Full description at Econpapers || Download paper

  50. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Jacobs, Kris ; Mimouni, Karim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-37.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-01 05:05:24 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.