Quasi‐maximum likelihood estimation of discretely observed diffusions
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Bibliographic InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 14 (2011)
Issue (Month): 2 (07)
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- Stan Hurn & Andrew McClelland & Kenneth Lindsay, 2010.
"A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions,"
NCER Working Paper Series
65, National Centre for Econometric Research.
- Hurn, A.S. & Lindsay, K.A. & McClelland, A.J., 2013. "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions," Journal of Econometrics, Elsevier, vol. 172(1), pages 106-126.
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