The Econometrics of Continuous-Time Finance
Contents:
一、Likelihood Expansions for Diffusions
1、Ait-Sahalia, Y., 1999, Transition Densities for Interest Rate and Other Nonlinear
Diffusions, Journal of Finance 54, 1361-1395
2、Ait-Sahalia, Y., 2002, Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A
Closed-Form Approximation Approach, Econometrica 70, 223-262
3、Ait-Sahalia, Y., 2001, Closed-Form Likelihood Expansions for Multivariate Diffusions,
Working paper
二、Random Sampling and Transaction-Level Data
4、Ait-Sahalia, Y. and Mykland, P., 2003, The Effects of Random and Discrete Sampling When
Estimating Continuous-Time Diffusions, Econometrica 71, 483-549
5、Engle, R.F. and Russell, J., 1998, Autoregressive Conditional Duration: A New Model for
Irregularly Spaced Transaction Data, Econometrica 66, 1127-1162
6、Renault, E. and Werker, B., 2002, Stochastic Volatility Models with Transaction Time
Risk, Working paper
三、Generalized Method of Moments Estimators and Simulation-Based Methods
7、Duffie, D. and Singleton, K., 1993, Simulated Moments Estimation of Markov Models of
Asset Prices, Econometrica 61, 929-952
8、Hansen, L.P. and Scheinkman, J.A., 1995, Back to the Future: Generating Moment
Implications for Continuous-Time Markov Processes, Econometrica 63, 767-804
9、Conley, T.G., L.P. Hansen, E.G.J. Luttmer and J.A. Scheinkman, 1997, Short-Term Interest
Rates as Subordinated Diffusions, Review of Financial Studies 10, 525-578
10、Singleton, K., 2001, Estimation of Affine Asset Pricing Models Using the Empirical
Characteristic Function, Journal of Econometrics 102, 111-141
11、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
12、Gallant, A. R. and Tauchen, G., 2002, Simulated Score Methods and Indirect Inference for
Continuous-time Models, prepared for the Handbook of Financial Econometrics
13、Gouriéroux, C., Monfort, A. and Renault, E., 1993, Indirect Inference, Journal of
Applied Econometrics 8, S85-S115
四、Nonparametric, MCMC and Sampling Methods for Discretely-Sampled Continuous-Time Models
14、Ait-Sahalia, Y., 1996, Nonparametric Pricing of Interest Rate Derivative Securities,
Econometrica 64, 527-560
15、Ait-Sahalia, Y., 1996, Testing Continuous-Time Models of the Spot Interest Rate, Review
of Financial Studies 9, 385-426
16、Johannes, M. and Polson, N., 2002, MCMC methods for Financial Econometrics, prepared for
the Handbook of Financial Econometrics
17、Elerian, O., Chib, S., Shephard, N., 2001, Likelihood Inference for Discretely Observed
Non-Linear Diffusions, Econometrica 69, 959-993
五、Jump-Diffusions and Lévy Processes
18、Ait-Sahalia, Y., 2002, Telling From Discrete Data Whether the Underlying Continuous-Time
Model is a Diffusion, Journal of Finance 57, 2075-2112
19、Ait-Sahalia, Y., 2002, Why Distinguishing Jumps from Volatility is Difficult (But Not
Impossible), Working paper
20、Schaumburg, E., 2001, Maximum Likelihood Estimation of Jump Processes with Applications
to Finance, Ph.D. Dissertation, Princeton University.
其中的文献:1、4、15、18、19
待续。。。