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Book Empirical Characteristic Function Estimation and its Applications

Download or read book Empirical Characteristic Function Estimation and its Applications written by Jun Yu and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the method of model-fitting via the empirical characteristic function. The advantage of using this procedure is that one can avoid difficulties inherent in calculating or maximizing the likelihood function. Thus it is a desirable estimation method when the maximum likelihood approach encounters difficulties but the characteristic function has a tractable expression. The basic idea of the empirical characteristic function method is to match the characteristic function derived from the model and the empirical characteristic function obtained from data. Ideas are illustrated by using the methodology to estimate a diffusion model that includes a self-exciting jump component. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over a GMM procedure. An application using over 72 years of DJIA daily returns reveals evidence of jump clustering.

Book Selected Topics in Characteristic Functions

Download or read book Selected Topics in Characteristic Functions written by Nikolaĭ Georgievich Ushakov and published by Walter de Gruyter. This book was released on 1999 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.

Book Empirical Characteristic Function in Time Series Estimation

Download or read book Empirical Characteristic Function in Time Series Estimation written by John Knight and published by . This book was released on 2013 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the empirical characteristic function (ECF) is the Fourier transform of the empirical distribution function, it retains all the information in the sample but can overcome difficulties arising from the likelihood. This paper discusses an estimation method via the ECF for strictly stationary processes. Under some regularity conditions, the resulting estimators are shown to be consistent and asymptotically normal. The method is applied to estimate the stable ARMA models. For the general stable ARMA model for which the maximum likelihood approach is not feasible, Monte Carlo evidence shows that the ECF method is a viable estimation method for all the parameters of interest. For the Gaussian ARMA model, a particular stable ARMA model, the optimal weight functions and estimating equations are given. Monte Carlo studies highlight the finite sample performances of the ECF method relative to the exact and conditional maximum likelihood methods.

Book Efficient Estimation Using the Characteristic Function

Download or read book Efficient Estimation Using the Characteristic Function written by Rachidi Kotchoni and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Empirical characteristic functions based estimation and distance correlation for locally stationary processes

Download or read book Empirical characteristic functions based estimation and distance correlation for locally stationary processes written by Carsten Jentsch and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes. Under weak moment conditions, we prove joint asymptotic normality for local empirical characteristic functions. For time-varying linear processes, we establish a central limit theorem under the assumption of finite absolute first moments of the process. Additionally, we prove weak convergence of the local empirical characteristic process. We apply our asymptotic results to parameter estimation. Furthermore, by extending the notion of distance correlation of Szekely, Rizzo and Bakirov (2007) to locally stationary processes, we are able to provide asymptotic theory for local empirical distance correlations. Finally, we provide a simulation study on minimum distance estimation for a-stable distributions and illustrate the pairwise dependence structure over time of log returns of German stock prices via local empirical distance correlations.

Book Continuous Empirical Characteristic Function Estimation of GARCH Models

Download or read book Continuous Empirical Characteristic Function Estimation of GARCH Models written by Dinghai Xu and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Estimation of Continuous Time Processes Via the Empirical Characteristic Function

Download or read book Estimation of Continuous Time Processes Via the Empirical Characteristic Function written by George J. Jiang and published by . This book was released on 2013 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the class of continuous-time stochastic processes commonly known as afᐯine diffusions (AD's) and afᐯine jump diffusions (AJD's). By deriving the joint characteristic function, we are able to examine the statistical properties as well as develop an efficient estimation technique based on empirical characteristic functions (ECF's) and a generalized method of moments (GMM) estimation procedure based on exact moment conditions. We demonstrate that our methods are particularly useful when the diffusions involve latent variables. Our approach is illustrated with a detailed examination of a continuous-time stochastic volatility (SV) model, along with an empirical application using S&P 500 index returns.

Book Selected Topics in Characteristic Functions

Download or read book Selected Topics in Characteristic Functions written by Nikolai G. Ushakov and published by Walter de Gruyter. This book was released on 2011-11-02 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.

Book Applications of Charateristics Functions

Download or read book Applications of Charateristics Functions written by Eugene Lukacs and published by . This book was released on 1964-06 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book International Financial Markets

Download or read book International Financial Markets written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance. This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.