Universitetsparken 5
DK-2100 Copenhagen, DK - 2200
Denmark
DK-8000 Aarhus C
University of Copenhagen - Institute for Mathematical Sciences
University of Aarhus
eigenfunction, ergodic diffusion, integrated diffusion, martingale estimating function, likelihood inference, mixing, optimal estimating function, Pearson system, prediction based estimating function, quasi likelihood, spectral methods,stochastic differential equation, stochastic volatility
optimal estimating function, generalized method of moments, conditional moment restrictions, dynamic models, optimal instruments, martingale estimating function, specification test
Asymptotic results, discrete time observation of a diffusion, efficiency
Approximate martingale estimating functions, discrete time observation of a diffusion, efficiency, Euler approximation, generalized method of moments, optimal estimating function, optimal rate, small delta-optimality
