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Simulated score methods and indirect inference for continuous-time models
Gallant, A. Ronald; Tauchen, George Eugene - 2010
Persistent link: https://www.econbiz.de/10003900666
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10003849492
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009559443
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The Realized Laplace Transform of volatility
Todorov, Viktor; Tauchen, George Eugene - 2011
Persistent link: https://www.econbiz.de/10009560217
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Realized Laplace Transforms for estimation of jump diffusive volatility models
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - 2010
Persistent link: https://www.econbiz.de/10009560323
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Limit theorems for power variations of pure-jump processes with application to activity estimation
Todorov, Viktor; Tauchen, George Eugene - 2010
Persistent link: https://www.econbiz.de/10009560326
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009560379
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Pricing of the time-change risks
Shaliastovich, Ivan; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009560380
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Volatility activity : specification and estimation
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - 2011
Persistent link: https://www.econbiz.de/10009561739
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Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions
Todorov, Viktor; Tauchen, George Eugene - 2011
Persistent link: https://www.econbiz.de/10009561745