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Estimation and Inference with the Efficient Method of Moments: With
Applications to Stochastic Volatility Models and Option Pricing
van der Sluis, P.J.
Publication date
1999
Link to publication
Citation for published version (APA):
van der Sluis, P. J. (1999). Estimation and Inference with the Efficient Method of Moments:
With Applications to Stochastic Volatility Models and Option Pricing. Thela Thesis. TI
Research Series nr. 204.
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Author Index
Abramowitz, 20, 27, 45, 193 Ahn, 73,77,78, 80,81,101,106,110 Akaike, 46 Amin, 34-36, 128, 138, 148 Andersen, 17, 29-31, 40, 45, 46, 50, 52, 57, 58, 64, 86, 162, 168, 169,180 Andrews, 31, 72, 73, 79, 105-108, 110,112, 113 Bachelier, 8, 13 Baily, 36, 127,138, 143 Bakshi, 127, 143, 148, 181 Bansal, 44, 46 Barndorff-Nielsen, 21 Barone-Adesi, 148 Bates, 36, 127, 129, 148, 180 Berger, 142 Bernstein, 9, 14, 33 Black, 13, 33, 127 Bollerslev, 10, 14-16, 22, 26, 49, 161,162, 168,169,180 Boswijk, 51 Boyle, 149 Breidt, 24, 180 Brennan, 34, 36, 128 Broadie, 149 Brock, 14 Campbell, 7, 8, 13 Cao, 16, 127, 143, 148, 181 Carlin, 13 Chen, 127, 143, 148, 181 Chernov, 55 Chesney,31, 127,129,143 Chib, 21,23, 28,29, 180, 181 Cho, 168 Chou, 14, 15, 161 Christie, 13 Chung, 17, 40, 57, 58, 64, 86 Clark, 2, 11,15 Clewlow, 128, 146 Comte, 24, 180 Cootner, 13, 14 Cox, D. R., 15 Cox, J. C , 34 Crato, 24, 180 Cribari-Neto, 183, 184 Cumby, 168 Cutler, 118 Danielsson, 17, 22, 25, 28, 29 Dassios, 18 Day, 168 de Lima, 24, 180 Delampady, 142 Dhaene, 50 Dimson, 10 Doornik, 56, 183-185,187, 188 Drost, 16 Duan, 128 Duffle, 18,31,33,52 Dunsmuir, 27 Durbin, 28 Eastwood, 46 Eichenbaum, 49222 AUTHOR INDEX Engle, 10,11,14-16,19,22,26,128, 161, 180 Fair, 72, 73, 79 Fama, 14, 161 Fenton, 44, 45 Figlewski, 168 Fletcher, 26 Foster, 50 French, 10, 13 Fridman, 17, 25, 27, 28, 64 Gallant, 1, 3, 23, 24, 32, 3941, 4 3 -46, 50, 52, 53, 66, 71, 82, 101, 176, 180 Geweke, 47 Ghysels, 7, 55, 72, 73, 77, 81, 83, 105,106,109-113,144,161 Glasserman, 149 Glynn,52 Goodhart, 8, 14 Gouriéroux, 7, 24, 31, 32, 39,49, 50, 71,76,82 Grossman, 11 Guay, 83, 105, 106, 109, 110, 112, 113 Hall, 72, 73, 77, 81, 105, 106, 109-113,121 Hannan, 46 Hansen, B., 113 Hansen, L. P., 29-31,48,49 Harris, 17, 25, 27, 28, 64 Harrison, 34 Harvey, 7, 14, 17-20, 22-24, 26-28, 54, 144, 161, 180 Hasbrouck, 168 Haugen, 118 Heaton, 48 Hendry, 28 Hentschel, 13 Heston, 127, 143 Hoffman, 72, 106 Hsieh, 14, 32,45, 66 Hull, 2, 7, 10, 17, 19, 20, 33, 34, 36, 127,129, 143, 148, 150 Hussey, 44, 46 Hutchinson, 14 Jacquier, 17, 18, 20, 23, 29, 64, 180 Jarrow, 36, 138 Jiang, 5, 127,159, 161 Johansen, 23 Johnson, 127, 143 Jorion, 129, 168 Kane, 128 Karpoff, 10,11 Kendall, 13 Kim, 21, 23, 28, 29, 180, 181 Kitagawa, 28 Kleibergen, 16 Kloeden, 52 Koopman, 17, 25, 27, 28, 64, 181, 184 Kreps, 34 Kroner, 14, 15, 22, 161 Lamoureux, 155 Lastrapes, 155 LeBaron, 14 Lee, 19, 108 LeRoy, 9 Lewis, 168 Lintner, 9 Liu, 46, 47, 83 Lo, 7-9, 14, 150 Long, 1, 23,40,44, 50, 53, 82, 180 Lucas, 51 Lund, 45,46, 52, 180 Liitkepohl, 46 MacKinlay, 7, 8 Magnus, 195
Mahieu, 17, 23, 28, 180 Mandelbrot, 10, 14, 161 Markowitz, 9 McFadden, 29, 48 Melino, 18, 31, 127, 129, 143, 155, 159 Merton, 33, 34, 36, 138 Mills, 14 Milne, 36, 138 Monahan, 31 Monfardini, 32, 58 Monfort, 7,24, 31, 32,39,49,50,71, 76,82 Nelson, 3,10,14-16,18,26,50,114, 161,180, 189 Neudecker, 195 Newey, 29,31,48,49,74,77-80,110 Ng, 34-36, 128, 138, 148 Nijman, 16 Noh, 128 Nychka, 3,44 O'Hara, 8, 14 Pagan, 72, 106, 168 Pantula, 23 Phillips, 44 Pitt, 24, 180,181 Pitts, 11 Platen, 52 Ploberger, 105-108, 110,112, 113 Poggio, 14 Poison, 13,17,18,20,23,29,64,180 Poterba, 118 Quinn, 46 Renault, 7, 20, 24, 32, 39, 71, 144, 161,180 Richard, 17, 25, 28 Ross, S. A., 34 Ross, S. M., 28, 29, 56, 195 Rossi, 17, 18, 20, 23, 29, 64, 180 Rothenberg, 48, 74 Rothschild, 9 Roy, 9 Rubinstein, 34, 36, 98,128, 146 Ruiz, 14, 17, 22, 23, 26-28, 54 Sandmann, 17, 25, 27, 28, 64, 181 Scaillet, 50 Scheinkman, 31 Scholes, 33, 127 Schotman, 17, 23, 28, 180 Schwarz,, 46 Schwert, 13, 23, 168 Scott, 31, 127, 129, 143 Sen, 105, 106,112,113,121 Shanno, 127, 143 Sharpe, 9 Shephard, 7, 14, 15, 17, 19, 21-24, 26-29, 54, 161, 180, 181, 184 Silverman, 45 Singleton, 31,49 Smith, 24, 39 Sowell, 105-110 Stambaugh, 13 Stegun, 20, 27, 45,193 Stein, E. M., 127, 143 Stein, J., 127, 128, 143 Stiglitz, 9 Stulz, 36, 127, 138, 143 Summers, 118 S0rensen, 17, 29-31, 40, 50, 57, 58, 64,86 Talmor, 118 Tauchen, 1,11,24,32,39^1,43^7, 52,53,66,71,82,101,176 Taylor, 10, 14, 17, 19, 20, 128, 146 Tong, 14
224 AUTHOR INDEX Torous, 118
Trognon, 76
Turnbull, 18, 31, 36, 127, 129, 138, 143,155,159
van der Sluis, 3-5, 39, 56, 71, 93, 105,107,111,127,131,159, 161,184 van Dijk, 16 Wang, 150 West, 31, 48,49, 168 Whaley, 148 White, A., 2, 17, 19, 20, 34, 36, 127, 129,143, 148,150 White, H., 10,41,47,76 Wiggins, 18, 31, 127,129,143 Wooldridge, 22 Working, 13 Xu, 128, 146 Yaron, 48 Zhang, H. H., 46, 47, 83 Zhang, W., 28 Zhou, 11
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