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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：3、5、8、10、11。

待续。。。

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