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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References listed on IDEAS
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
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- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"Likelihood Inference for Discretely Observed Nonlinear Diffusions,"
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- 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.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2001-12-19 (Econometric Time Series)
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