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Filtered likelihood for point processes
Giesecke, Kay; Schwenkler, Gustavo - In: Journal of econometrics 204 (2018) 1, pp. 33-53
Persistent link: https://www.econbiz.de/10011974711
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Efficient estimation and filtering for multivariate jump-diffusions
Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10012619970
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Simulated likelihood estimators for discretely observed jump-diffusions
Giesecke, Kay; Schwenkler, G. - In: Journal of econometrics 213 (2019) 2, pp. 297-320
Persistent link: https://www.econbiz.de/10012304557
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Variation-based tests for volatility misspecification
Papanicolaou, Alex; Giesecke, Kay - In: Journal of econometrics 191 (2016) 1, pp. 217-230
Persistent link: https://www.econbiz.de/10011598102