Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation. (2006). Hurn, Stan.
In: Stan Hurn Discussion Papers.
RePEc:qut:sthurn:2006-01.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 30

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

  1. Modelling the dynamics of EU economic sentiment indicators: an interaction-based approach. (2012). Ghonghadze, Jaba ; Lux, Thomas.
    In: Applied Economics.
    RePEc:taf:applec:44:y:2012:i:24:p:3065-3088.

    Full description at Econpapers || Download paper

  2. Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach. (2011). Lux, Thomas ; Ghonghadze, Jaba .
    In: Post-Print.
    RePEc:hal:journl:hal-00711445.

    Full description at Econpapers || Download paper

  3. Modeling the dynamics of EU economic sentiment indicators: an interaction-based approach. (2009). Ghonghadze, Jaba ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1487.

    Full description at Econpapers || Download paper

  4. Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. (2009). Lux, Thomas.
    In: Post-Print.
    RePEc:hal:journl:hal-00720175.

    Full description at Econpapers || Download paper

  5. Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey. (2009). Lux, Thomas.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:72:y:2009:i:2:p:638-655.

    Full description at Econpapers || Download paper

  6. Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1424.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ait-Sahalia, Y. (1996). Testing Continuous-Time Models of the Spot Interest Rate. Review of Financial Studies, 9, 385-426.

  2. Ait-Sahalia, Y. (2002). Maximum Likelihood Estimation of Discretely Sampled Diffusions: A ClosedForm Approximation Approach. Econometrica, 70, 223-262.

  3. Bibby, B.M. and Sørensen, M. (1995). Martingale Estimation Functions for Discretely Observed Diffusion Processes. Bernoulli, 1, 17-39.
    Paper not yet in RePEc: Add citation now

  4. Brandt, M.W. and Santa-Clara, P. (2002). Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. Journal of Financial Economics, 63, 161-210.

  5. Chacko, G. and Viceira, L.M. (2003). Spectral GMM Estimation of Continous-Time Processes.

  6. Cox, J.C., Ingersoll, J.E. and Ross, S.A. (1985). A Theory of the Term Structure of Interest Rates.

  7. Econometrica, 53, 385-407. Durham, G.B. and Gallant, A.R. (2002). Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes. Journal of Business and Economic Statistics, 20, 297-316.

  8. Elerian, O. (1998). A Note on the Existence of a Closed Form Conditional Transition Density for the Milstein Scheme. Working Paper, Nuffield College, Oxford University.

  9. Elerian, O., Chib, S. and Shephard, N. (2001). Likelihood Inference for Discretely Observed Nonlinear Diffusions. Econometrica, 69, 959-993.

  10. Eraker, B. (2001). MCMC Analysis of Diffusion Models with Application to Finance. Journal of Business and Economic Statistics, 19, 177-191.

  11. Feller, W. (1951). Two Singular Diffusion Problems. Annals of Mathematics, 54, 173-182.
    Paper not yet in RePEc: Add citation now
  12. Florens-Zmirou, D. (1989). Approximate Discrete-Time Schemes for Statistics of Diffusion Processes.
    Paper not yet in RePEc: Add citation now

  13. Gourieroux, C., Monfort, A. and Renault, E. (1993). Indirect Inference. Journal of Applied Econometrics, 8, 85-118.

  14. Hansen, L.P. and Scheinkman, J.A. (1995). Back to the Future: Generating Moment Implications for Continous-Time Markov Processes. Econometrica, 63, 767-804.

  15. Hurn, A.S. and Lindsay, K.A. (1999). Estimating the Parameters of Stochastic Differential Equations.

  16. Hurn, A.S., Jeisman, J. and Lindsay, K.A. (2006). Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. National Centre for Econometric Research Discussion Paper.

  17. Jensen, B. and Poulsen, R. (2002). Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques. Journal of Derivatives, 9, 18-32.
    Paper not yet in RePEc: Add citation now

  18. Jiang, G.J. and Knight, J.L. (2002). Estimation of Continuous-Time Processes via the Empirical Characteristic Function. Journal of Business and Economic Statistics, 20, 198-212.

  19. Jones, C.S. (1998). A Simple Bayesian Method for the Analysis of Diffusion Processes. Working Paper, Simon School of Business, University of Rochester.
    Paper not yet in RePEc: Add citation now

  20. Journal of Econometrics, 116, 259292. 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.

  21. Journal of Finance, 55, 1569-1622. Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5, 177-188.

  22. Kessler, M. and Sørensen, M. (1999). Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process. Bernoulli, 5, 299-314.
    Paper not yet in RePEc: Add citation now

  23. Mathematics and Computers in Simulation, 48, 373-384. Hurn, A.S., Lindsay, K.A. and Martin, V.L. (2003). On the Efficacy of Simulated Maximum Likelihood for Estimating the Parameters of Stochastic Differential Equations. Journal of Time Series Analysis, 24, 45-63.

  24. Pedersen, A.R. (1995). A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations. Scandinavian Journal of Statistics, 22, 55-71.
    Paper not yet in RePEc: Add citation now
  25. Roberts, G.O. and Stramer, O. (2001). On Inference for Partially Observed Non-linear Diffusion Models using the Metropolis-Hastings Algorithm. Biometrika, 88, 603-621.
    Paper not yet in RePEc: Add citation now

  26. Sørensen, M. (2000). Prediction Based Estimating Functions. Econometrics Journal, 3, 123-147.

  27. Shoji, I. and Ozaki, T. (1998). Estimation for Nonlinear Stochastic Differential Equations by a Local Linearization Method. Stochastic Analysis and Applications, 16, 733-752.
    Paper not yet in RePEc: Add citation now

  28. Singleton, K.J. (2001). Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function. Journal of Econometrics, 102, 111-141.

  29. Statistics, 20, 547-557. Gallant, A.R. and Tauchen, G. (1996). Which Moments to Match? Econometric Theory, 12, 657681.

  30. Sundaresan, S.M. (2000). Continuous-time Methods in Finance: A Review and an Assessment.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

  2. Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99. (2006). Spencer, Peter.
    In: Discussion Papers.
    RePEc:yor:yorken:04/16.

    Full description at Econpapers || Download paper

  3. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws060101.

    Full description at Econpapers || Download paper

  4. The Dynamics of the Short-Term Interest Rate in the UK. (2005). Bernales, Alejandro ; Beuermann, Diether ; Antoniou, Antonios .
    In: Finance.
    RePEc:wpa:wuwpfi:0512029.

    Full description at Econpapers || Download paper

  5. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:56.

    Full description at Econpapers || Download paper

  6. Discounting the distant future: How much does model selection affect the certainty equivalent rate?. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini ; Koundouri, Phoebe ; Groom, Ben.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1480105.

    Full description at Econpapers || Download paper

  7. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions. (2005). Phillips, Peter ; Bandi, Federico M..
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1522.

    Full description at Econpapers || Download paper

  8. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2290.

    Full description at Econpapers || Download paper

  9. Calibration of Interest Rate Models - Transition Market Case. (2004). Vojtek, Martin.
    In: Finance.
    RePEc:wpa:wuwpfi:0410015.

    Full description at Econpapers || Download paper

  10. On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates. (2004). Rodrigues, Paulo ; Rubia, Antonio.
    In: Econometrics.
    RePEc:wpa:wuwpem:0405004.

    Full description at Econpapers || Download paper

  11. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Szimayer, Alexander ; Junker, Markus.
    In: Econometrics.
    RePEc:wpa:wuwpem:0401007.

    Full description at Econpapers || Download paper

  12. Does the Term Spread Play a Role in the Feds Reaction Function? An Empirical Investigation. (2004). Vázquez, Jesús.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:52.

    Full description at Econpapers || Download paper

  13. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). Zhang, Xibin ; King, Maxwell ; Hyndman, Rob.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-9.

    Full description at Econpapers || Download paper

  14. Bayesian Analysis of Continuous Time Models of the Australian Short Rate. (2004). Martin, Gael ; Sanford, Andrew D..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-11.

    Full description at Econpapers || Download paper

  15. The term structure of real rates and expected inflation. (2004). Bekaert, Geert ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:3.

    Full description at Econpapers || Download paper

  16. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:11.

    Full description at Econpapers || Download paper

  17. Does the Term Spread play a role in the FEDs reaction function? An Empirical Investigation. (2004). .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200402.

    Full description at Econpapers || Download paper

  18. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). King, Maxwell ; Hyndman, Rob ; Zhang, Xibin.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:120.

    Full description at Econpapers || Download paper

  19. Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?. (2004). Vázquez, Jesús.
    In: Economic Working Papers at Centro de Estudios Andaluces.
    RePEc:cea:doctra:e2004_11.

    Full description at Econpapers || Download paper

  20. Market Valuation and Risk Assessment of Canadian Banks. (2004). Yuan, Mingwei ; Papakirykos, Eli ; Liu, Ying.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-34.

    Full description at Econpapers || Download paper

  21. Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility. (2003). Steel, Mark ; Griffin, James E..
    In: Econometrics.
    RePEc:wpa:wuwpem:0201002.

    Full description at Econpapers || Download paper

  22. Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad. (2003). Valachy, Juraj ; Kočenda, Evžen.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2003-622.

    Full description at Econpapers || Download paper

  23. A two-factor model of the German term structure of interest rates. (2003). Luis, Jorge Barros ; Cassola, Nuno.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:11:p:783-806.

    Full description at Econpapers || Download paper

  24. Quasi-maximum likelihood estimates of Kiwi short-term interest rate. (2003). Treepongkaruna, Sirimon.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:15:p:937-942.

    Full description at Econpapers || Download paper

  25. Bootstrap Specification Tests for Diffusion Processes. (2003). Swanson, Norman ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200321.

    Full description at Econpapers || Download paper

  26. Does the Black-Scholes formula work for electricity markets? A nonparametric approach. (2003). Hjalmarsson, Erik.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0101.

    Full description at Econpapers || Download paper

  27. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-32.

    Full description at Econpapers || Download paper

  28. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

    Full description at Econpapers || Download paper

  29. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207015.

    Full description at Econpapers || Download paper

  30. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; Castaldi, Carolina ; M. Gentile, R. Reno, ; Dosi, Giovanni.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2002/02.

    Full description at Econpapers || Download paper

  31. Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries. (2002). Vahid, Farshid ; Athanasopoulos, George ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-20.

    Full description at Econpapers || Download paper

  32. Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?. (2002). .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200233.

    Full description at Econpapers || Download paper

  33. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200201.

    Full description at Econpapers || Download paper

  34. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. (2001). Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve Guoqiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8682.

    Full description at Econpapers || Download paper

  35. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1309.

    Full description at Econpapers || Download paper

  36. A nonparametric dimension test of the term structure. (2001). Gil-Bazo, Javier ; Rubio, Gonzalo.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb012106.

    Full description at Econpapers || Download paper

  37. An Asset Allocation Puzzle: Comment. (2001). Portait, Roland ; Jordan, James V. ; Bajeux-Besnainou, Isabelle .
    In: American Economic Review.
    RePEc:aea:aecrev:v:91:y:2001:i:4:p:1170-1179.

    Full description at Econpapers || Download paper

  38. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-07.

    Full description at Econpapers || Download paper

  39. Accelerated Asymptotics for Diffusion Model Estimation. (2000). Phillips, Peter ; Bandi, Federico.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1656.

    Full description at Econpapers || Download paper

  40. Structural Breaks in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1240.

    Full description at Econpapers || Download paper

  41. Strong Rules for Detecting the Number of Breaks in a Time Series. (2000). Corradi, Valentina ; Altissimo, Filippo .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0574.

    Full description at Econpapers || Download paper

  42. Structural Changes in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2000-20.

    Full description at Econpapers || Download paper

  43. Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models. (1999). Downing, Christopher T..
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:111.

    Full description at Econpapers || Download paper

  44. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Richardson, Matthew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7213.

    Full description at Econpapers || Download paper

  45. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Whitelaw, Robert ; Stanton, Richard ; Richardson, Matthew.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-042.

    Full description at Econpapers || Download paper

  46. Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets. (1999). Remolona, Eli ; Fung, Ben.
    In: Staff Working Papers.
    RePEc:bca:bocawp:99-6.

    Full description at Econpapers || Download paper

  47. Regime Switches in Interest Rates. (1998). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6508.

    Full description at Econpapers || Download paper

  48. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1998). Ng, Serena ; Ghysels, Eric.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:403.

    Full description at Econpapers || Download paper

  49. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1997). Ng, Serena ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-33.

    Full description at Econpapers || Download paper

  50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-19 01:46:33 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.