A Refinement to Ait-Sahalia's (2002) "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach"
This paper provides a closed-form density approximation when the underlying state variable is a one-dimensional diffusion. Building on Aït-Sahalia (2002), we show that our refinement is applicable under a wide class of drift and diffusion functions. In addition, it facilitates the maximum likelihood estimation of discretely sampled diffusion models of short interest-rate or stock volatility with unknown conditional densities. Our interest-rate examples demonstrate that the analytical approximation is sufficiently accurate.
When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:78:y:2005:i:5:p:2037-2036. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division)
If references are entirely missing, you can add them using this form.