Empirical Characteristic Function Estimation and Its Applications

@article{Yu2004EmpiricalCF,
  title={Empirical Characteristic Function Estimation and Its Applications},
  author={J. Yu},
  journal={Econometric Reviews},
  year={2004},
  volume={23},
  pages={123 - 93}
}
  • J. Yu
  • Published 2004
  • Econometric Reviews
    • Abstract 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… CONTINUE READING
    View on Taylor & Francis
    mysmu.edu
    64 Citations
    Highly Influential Citations
    6
    Background Citations
    28
    Methods Citations
    20
    64 Citations
    Citation Type

    Citation Type

    A characteristic function-based approach to approximate maximum likelihood estimation
    • 1
    Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
    • 3
    Efficient Estimation Using the Characteristic Function
    • 15
    • PDF
    Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
    • 19
    An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
    • Dinghai Xu
    • Mathematics, Computer Science
    • Commun. Stat. Simul. Comput.
    • 2010
    • 2
    • PDF
    The Continuum-GMM Estimation: Theory and Application
    • Highly Influenced
    • PDF
    Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
    • 70
    • PDF
    Empirical Likelihood Estimation for a Class of Stable Processes
    • 2
    • PDF
    On parameter estimation in multi-parameter distributions
    • PDF
    Empirical Likelihood Methods Based on Characteristic Functions With Applications to LĂ©vy Processes
    • 15
    • PDF

    References

    SHOWING 1-10 OF 76 REFERENCES
    Empirical Characteristic Function in Time Series Estimation
    • 98
    • PDF
    Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
    • 43
    • PDF
    Estimating mixtures of normal distributions via empirical characteristic function
    • 32
    • Highly Influential
    Estimation of Continuous-Time Processes via the Empirical Characteristic Function
    • 161
    • Highly Influential
    • PDF
    Ef fi cient Estimation of Markov Models Where the Transition Density is Unknown
    • 2
    • Highly Influential
    • PDF
    Estimation of affine asset pricing models using the empirical characteristic function
    • 392
    • Highly Influential
    An iterative procedure for the estimation of the parameters of stable laws
    • 177
    Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
    • 70
    • Highly Influential
    • PDF
    GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
    • 507
    • Highly Influential
    • PDF
    The Cumulant Generating Function Estimation Method
    • 38