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Browsing Duke Faculty Scholarship by Subject "Gallant-Tauchen efficient method of momments"

DukeSpace

Browsing Duke Faculty Scholarship by Subject "Gallant-Tauchen efficient method of momments"

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  • Specification Analysis of Continuous Time Models in Finance
    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 ...