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Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"

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File URL: http://www.nuff.ox.ac.uk/economics/papers/2001/w26/jbes2.pdf
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W26.

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Length: 7 pages
Date of creation: 12 Aug 2001
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Handle: RePEc:nuf:econwp:0126

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Web page: http://www.nuff.ox.ac.uk/economics/

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  1. Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, Econometric Society, vol. 69(4), pages 959-93, July.
  2. Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers, Economics Group, Nuffield College, University of Oxford 3., Economics Group, Nuffield College, University of Oxford.
  3. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, Royal Statistical Society, vol. 63(2), pages 167-241.
  4. Michael K Pitt & Neil Shephard, . "Filtering via simulation: auxiliary particle filters," Economics Papers, Economics Group, Nuffield College, University of Oxford 1997-W13, Economics Group, Nuffield College, University of Oxford.
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Cited by:
  1. A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 390-455.

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