DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT (Q4226857)
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scientific article; zbMATH DE number 1253659
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT |
scientific article; zbMATH DE number 1253659 |
Statements
DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT (English)
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10 June 1999
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strong Ito-Taylor approximations
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instrumental variables estimation
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stochastic volatility
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diffusion coefficient estimator
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