Some Simple ML Estimators in Stochastic Differential Equations
AbstractFor many stochastic differential equations often met in financial theory, it is the drift and the dispersion which are the principal parameters of the model. In such cases it is shown that the parameters can be estimated by ordinary methods from normal distribution theory.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 01-10.
Length: 12 pages
Date of creation: Oct 2001
Date of revision:
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Stochastic differential equations; ML estimates; financial models;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-11-27 (All new papers)
- NEP-ECM-2001-11-27 (Econometrics)
- NEP-ENT-2001-11-27 (Entrepreneurship)
- NEP-ETS-2001-11-27 (Econometric Time Series)
- NEP-NET-2001-11-27 (Network Economics)
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