Estimation of Equicorrelated Diffusions from Incomplete Data
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References listed on IDEAS
- Lo, Andrew W., 1988.
"Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data,"
Cambridge University Press, vol. 4(02), pages 231-247, August.
- Andrew W. Lo, "undated". "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
- Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
More about this item
KeywordsMaximum likelihood; Equicorrelation; Correlated di usions; Wiener process; Missing data;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
- NEP-ECM-2011-12-13 (Econometrics)
- NEP-ORE-2011-12-13 (Operations Research)
- NEP-RMG-2011-12-13 (Risk Management)
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