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Inference for large financial systems

Published:2019-07-12 Issue:1 Volume:30 Page:3-46
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Giesecke Kay¹,Schwenkler Gustavo²,Sirignano Justin A.³

Affiliation:

1. Department of Management Science and EngineeringStanford UniversityStanford California

2. Department of Finance of the Questrom School of BusinessBoston UniversityBoston Massachusetts

3. Department of Industrial and Enterprise Systems EngineeringUniversity of Illinois at Urbana‐ChampaignUrbana Illinois

Funder

National Science Foundation through Methodology, Measurement, and Statistics

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12222

Reference51 articles.

1. Unified inference for nonlinear factor models from panels with fixed and large time span;Andersen T.;Journal of Econometrics

2. Parametric Inference and Dynamic State Recovery From Option Panels

3. Robust Priors in Nonlinear Panel Data Models

4. Estimation in Interacting Diffusions: Continuous and Discrete Sampling

5. Bilateral credit valuation adjustment for large credit derivatives portfolios

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4. Nonparametric adaptive estimation for interacting particle systems;Scandinavian Journal of Statistics;2023-05-23

5. Euler simulation of interacting particle systems and McKean–Vlasov SDEs with fully super-linear growth drifts in space and interaction;IMA Journal of Numerical Analysis;2023-05-11

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