A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
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- Hurn, A.S. & Lindsay, K.A. & McClelland, A.J., 2013. "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions," Journal of Econometrics, Elsevier, vol. 172(1), pages 106-126.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matyas Barczy & Balazs Nyul & Gyula Pap, 2015. "Least squares estimation for the subcritical Heston model based on continuous time observations," Papers 1511.05948, arXiv.org, revised Nov 2017.
- esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.
- Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
- Matyas Barczy & Gyula Pap & Tamas T. Szabo, 2014. "Parameter estimation for the subcritical Heston model based on discrete time observations," Papers 1403.0527, arXiv.org, revised Feb 2016.
More about this item
Keywordsstochastic differential equations; parameter estimation; quasi-maximum likelihood; moments;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-ECM-2010-11-20 (Econometrics)
- NEP-ORE-2010-11-20 (Operations Research)
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