Browsing Duke Scholarly Works by Subject "Gallant-Tauchen efficient method of momments"

Sort by: Order: Results:

  • Gallant, A. Ronald; Tauchen, George (SSRN eLibrary, 1995)
    describes the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data. The EMM technique is a ...