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Estimation of Diffusion Processes using the Empirical Characteristic Function

Event information
Date 14 November 2000
Time 13:00-14:00 (Timezone: Europe/London)
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

His main research interests are in econometrics and asset pricing and he has published many papers in this field. Currently he is visiting a co-author, Steve Satchell at Birkbeck College. His work on the empirical characteristic function approach to continuous time processes is being published in JBES and other international journals.