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Estimating for Discretely Observed Diffusions Using Transform Functions

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This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and diffusion coefficients. Consistency and asymptotic normality of the resulting estimators is investigated. Power transforms are used to estimate the parameters of affine diffusions, for which explicit estimators are obtained.

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File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp96.pdf
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Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 96.

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Date of creation: 01 Jun 2003
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Handle: RePEc:uts:rpaper:96

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Cited by:
  1. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Michael Sørensen, 2008. "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers 2007-46, School of Economics and Management, University of Aarhus.

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