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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying : a comment
Pastorello, Sergio - In: Mathematical finance : an international journal of … 6 (1996) 1, pp. 111-117
Persistent link: https://www.econbiz.de/10001201642
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Statistical inference for random variance option pricing
Pastorello, Sergio; Renault, Eric; Touzi, Nizar - 1997
Persistent link: https://www.econbiz.de/10000984169
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Iterative and recursive estimation in structural nonadaptive models
Pastorello, Sergio; Patilea, Valentin; Renault, Eric - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 449-482
Persistent link: https://www.econbiz.de/10001807000
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Estimating and testing non-affine option pricing models with a large unbalanced panel of options
Ferriani, Fabrizio; Pastorello, Sergio - In: The econometrics journal 15 (2012) 2, pp. 171-203
Persistent link: https://www.econbiz.de/10009614929
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Maximization by parts in extremum estimation
Fan, Yanqin; Pastorello, Sergio; Renault, Eric - In: The econometrics journal 18 (2015) 2, pp. 147-171
Persistent link: https://www.econbiz.de/10011378476