Abstract
We derive closed form expansions for the asymptotic distribution of Hansen and Scheinkman (1995) moment estimators for discretely, and possibly randomly, sampled diffusions. This result makes it possible to select optimal moment conditions as well as to assess the efficiency of the resulting parameter estimators relative to likelihood-based estimators, or to an alternative type of moment conditions.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have