Efficient Parameter Estimation for Multivariate Jump-Diffusions-Reference-Cited by-同舟云学术

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Efficient Parameter Estimation for Multivariate Jump-Diffusions

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Guay Francois,Schwenkler Gustavo

Publisher

Elsevier BV

Reference66 articles.

1. Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation approach;Yacine A�?ta�?t-Sahalia;Econometrica,2002

2. Closed-form likelihood expansions for multivariate diffusions;Yacine A�?ta�?t-Sahalia;The Annals of Statistics,2008

3. Saddlepoint approximations for continuous-time markov processes;Yacine A�?ta�?t-Sahalia;Journal of Econometrics,2006

4. Parametric inference and dynamic state recovery from option panels;Torben G Andersen;Econometrica,2015

5. Particle markov chain monte carlo methods;Christophe Andrieu;Journal of the Royal Statistical Society: Series B (Statistical Methodology),2010

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Estimating functions for jump–diffusions;Stochastic Processes and their Applications;2019-09

2. Filtered likelihood for point processes;Journal of Econometrics;2018-05

3. Filtered Likelihood for Point Processes;SSRN Electronic Journal;2011

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