Efficient estimation of general dynamic models with a continuum of moment conditions-Reference-Cited by-同舟云学术

Efficient estimation of general dynamic models with a continuum of moment conditions

Published:2007-10 Issue:2 Volume:140 Page:529-573
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Carrasco Marine,Chernov Mikhail,Florens Jean-Pierre,Ghysels Eric

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference40 articles.

1. Altissimo, F., Mele, A., 2005. Simulated nonparametric estimation of dynamic models with applications to finance. Working paper, London School of Economics.

2. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

3. Bates, D., 2003. Maximum likelihood estimation of latent affine processes. Review of Financial Studies, forthcoming.

4. Quasi-indirect inference for diffusion processes;Broze;Econometric Theory,1998

5. Generalization of GMM to a continuum of moment conditions;Carrasco;Econometric Theory,2000

Cited by 101 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis;Journal of Econometrics;2024-07

2. Local Edgeworth Expansions;SSRN Electronic Journal;2024

3. Parametric Estimation of Tempered Stable Laws;Latin American Journal of Probability and Mathematical Statistics;2024

4. Structural VAR models in the Frequency Domain;Journal of Econometrics;2023-09

5. Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach;Journal of Futures Markets;2023-06-30