Empirical Characteristic Function Estimation and Its Applications

• Main Author: YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Diffusion process; Poisson jump; Self-exciting; GMM; Jumpclustering; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/358; https://ink.library.smu.edu.sg/context/soe_research/article/1357/viewcontent/SSRN_id553701.pdf
• Institution: Singapore Management University

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 appro...