Pritsker, Matt G. (1998), "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," Review of Financial Studies, vol. 11, 449--487. Home/Search Document Details and Download
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Estimating Stochastic Volatility Diffusion Using Conditional .. - Bollerslev, Zhou (2000) (Correct)
....methods for estimating continuous time process concerns their finite sample performance. With strong temporal dependence and or conditional heteroskedasticity in the data generating process, asymptotically sound estimators have been shown to exhibit very slow convergence rates (see, e.g. Pritsker, 1998). This section qualifies the small sample efficiency of our GMM estimator, along with the resulting omnibus specification test, and Wald based parameter inference. 3.1 Experimental Design we presents the results for three benchmark specifications. Scenario A ( 0:03, 0:25, oe = 0:10) ....
Pritsker, Matt G. (1998), "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," Review of Financial Studies, vol. 11, 449--487.
Prediction-based Estimating Functions for Diffusion.. - Nolsøe, Nielsen, Madsen (2000) (Correct)
....these methods allow for measurement noise explicitly. This also holds for the nonparametric methods proposed by (At Sahalia, 1996a; At Sahalia, 1996b; Stanton, 1997; Jiang and Knight, 1997; Bak, 1998) and compared using Monte Carlo simulation by (Chapman and Pearson, 1998; Jiang and Knight, 1999) Pritsker (1998) analyzes the power of the tests proposed by (At Sahalia, 1996b) An overview of parameter estimation methods for discretely observed SDEs is given in (Nielsen, Madsen and Young, 1999) In Section 2 the modelling framework is put forth. The proposed PEFMs will be presented in Section 3, where the ....
Pritsker, M. (1998), `Nonparametric density estimation and tests of continuous time interest rate models', The Review of Financial Studies 11(3), 449--487.
Estimating Continuous-time Stochastic Volatility.. - Madsen, Nielsen.. (Correct)
....in closed form. For univariate models (Ait Sahalia, 1996) has proposed a method, where the Kolmogorov forward equation is used to extract a semi nonparametric estimator of the diffusion function when the drift function is given. The small sample properties of this method has been studied in (Pritsker, 1998), see also (Jiang and Knight, 1999; Chapman and Pearson, 1999) Unfortunately, it is difficult to extend these methods to cope with multivariate diffusion processes, in particular processes with unobserved states. 1 Corresponding author: Tlf 4525 3408, fax 4588 1397, Email hm imm.dtu.dk. 1 ....
Pritsker, M. (1998), `Nonparametric density estimation and tests of continuous time interest rate models', The Review of Financial Studies 11(3), 449--487.
Non-Linear Kalman Filtering Techniques for Term-Structure Models - Lund (1997) (Correct)
....does not apply to the finite sample properties unless the sample is sufficiently large, but what constitutes a sufficiently large sample varies from case to case. Sometimes a few hundred observations, or even less, are sufficient, whereas in other cases, even 5000 observations may not be enough. Pritsker (1996) presents an interesting example of the latter case. In general, though, asymptotic properties are a useful starting point that, whenever possible, should be supplemented by Monte Carlo studies. 6.1 Vasicek model First, we investigate the properties of QML for the one factor Vasicek model, dr ....
Pritsker, M. (1996), "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," Manuscript, Federal Reserve Board, Washington, DC.
Nonlinear Mean Reversion in the Short-Term Interest Rate - Jones (1998) (25 citations) (Correct)
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Pritsker, M., 1998, "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," Review of Financial Studies, 11, 449-487
Asset Pricing with Conditioning Information: A New Test - Wang (1999) (Correct)
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Pritsker, Matt, 1998, Nonparametric density estimation and tests of continuous time interest rate models, Review of Financial Studies 11, 449-487.
Bootstrapping the Long Run - Timothy G. Conley, Lars Peter.. (1997) (1 citation) (Correct)
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Pritsker, M. (1996) Nonparametric density estimation and tests of continuous time interest rate models. Working Paper, Federal Reserve Board of Governors.
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