Operator Methods for Continuous-Time Markov Processes

Operator Methods for Continuous-Time Markov Processes (2004)

Cached

Download Links

by Yacine Aït-Sahalia , Lars Peter Hansen , José A. Scheinkman

Citations:

BibTeX

@MISC{Aït-Sahalia04operatormethods,
    author = {Yacine Aït-Sahalia and Lars Peter Hansen and José A. Scheinkman},
    title = {Operator Methods for Continuous-Time Markov Processes },
    year = {2004}
}

Bookmark

OpenURL

Abstract

Citations

1051	and Functional analysis - Real - 1993
856	Large sample properties of generalized method of moments estimators - Hansen - 1982
761	A Theory of the Term Structure of Interest Rates - Cox, Ingersoll, et al. - 1985
386	An equilibrium characterization of the term structure - Vasicek - 1977
380	Martingale Limit Theory and Its Applications - Hall, Heyde - 1980
362	Ness J: Fractional brownian motion, fractional noses and applications - Mandelbrot, Van - 1968
224	On lines and planes of closest fit to systems of points in space - Pearson - 1901
220	An Empirical Comparison of Alternative Models of the Short-term Interest Rate - Chan, Karolyi, et al. - 1992
218	A subordinated stochastic process model with finite variance for speculative prices - Clark - 1973
164	An introduction to the theory of (non-symmetric) Dirichlet forms - Ma, Röckner - 1992
159	On the mathematical foundations of theoretical statistics - Fisher - 1922
136	Testing continuous-time models of the spot interest rate - Aït-Sahalia - 1996
108	ARCH models as diffusion approximations - Nelson - 1990
101	Nonparametric Pricing of Interest Rate Derivative Securities,” Econometrica - Ait-Sahalia, Lo - 1996
94	A nonparametric model of term structure dynamics and the market price of interest rate risk - Stanton - 1997
93	Back to the Future: Generating Moment Implications for Continuous-time Markov Processes - Hansen, Scheinkman - 1995
74	Coincidence Probabilities - Karlin, McGregor - 1959
57	Statistical Inference for Markov Processes - Billingsley - 1961
53	A Consistent Conditional Moment Test of Functional Form - Bierens - 1990
48	Short-Term Interest Rates as Subordinated Di®usions - Conley, Hansen, et al. - 1997
48	Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models.” Working paper, Federal Reserve Board - Pritsker - 1997
45	Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process”. Bernoulli - Kessler, Sørensen - 1999
42	Transition densities for interest rate and other nonlinear di usions - Aït-Sahalia - 1999
42	Harmonic Analysis and the Theory of Probability - Bochner - 1955
41	Zipf’s law for cities: An explanation - Gabaix - 1999
40	On asymptotic distributions of estimates of parameters of stochastic difference equations - Anderson - 1959
37	2002, “The Dynamics of Stochastic Volatility: Evidence from Underlying and Options Markets,” forthcoming Journal of Econometrics - Jones
34	Closed-form likelihood expansions for multivariate diffusions”. Working paper - Aït-Sahalia - 2003
34	Maximum-likelihood estimation of discretely-sampled di usions: a closedform approximation approach - Aït-Sahalia - 2002
28	Some aspects of asymptotic theory with applications to time series models,” Econometric Theory - Jeganathan - 1995
28	The potential approach to the term structure of interest rate and foreign exchange rates - Rogers - 1997
27	Fully Nonparametric Estimation of Scalar Diffusion Models - Bandi, Phillips - 2003
27	A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators - Hansen - 1985
26	Disentangling diffusion from jumps - Aït-Sahalia - 2004
24	On the functional central limit theorem and the law of the iterated logarithm for Markov processes - Bhattacharya - 1982
23	Telling from discrete data whether the underlying continuoustime model is a diffusion - Aït-Sahalia - 2002
23	Cities and Growth: Theory and Evidence from France and Japan - Eaton, Eckstein - 1997
21	Spectral Methods for Identifying Scalar Diffusion Processes - Hansen, Scheinkman, et al. - 1998
20	Errata: “Nonparametric identification for diffusion processes - Banon - 1978
20	Estimation of an Ergodic Diffusion from Discrete Observations - Kessler - 1997
19	The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models - Johannes - 2004
19	Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process - Kessler - 2000
18	Estimation of continuous-time Markov processes sampled at random time intervals - Duffie, Glynn - 2004
18	2004), “Analytic Evaluation of Volatility Forecasts - Andersen, Bollerslev, et al.
18	Estimating functions for discretely sampled diffusion-type models - Bibby, Jacobsen, et al. - 2002
15	Coincidence properties of birth and death processes - Karlin, McGregor - 1959
14	The limiting distribution of the serial correlation coefficient in the explosive - White - 1958
14	The construction of a class of stationary markoff processes, in: Richard Bellman (Ed - Wong - 1964
14	2007), "Linear Inverse Problems in Structural Econometrics: Estimation Based on Spectral Decomposition and Regularization - Carrasco, Florens, et al.
12	Short-term interest rate dynamics: A spatial approach - Bandi - 2002