The density of bounded diffusions

DOI10.1016/J.ECONLET.2004.06.012zbMath1254.60084OpenAlexW2083290360MaRDI QIDQ1927725

Jean-Daniel M. Saphores

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://www.escholarship.org/uc/item/1m13160d

zbMATH Keywords

maximum likelihooddensity functionbounded diffusions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Moments of the first passage time of one-dimensional diffusion with two-sided barriers ⋮ On the densities of certain bounded diffusion processes ⋮ Bounded Ornstein-Uhlenbeck models for two-choice time controlled tasks ⋮ DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT

Cites Work

• Testing for PPP: the erratic behaviour of unit root tests
• The special functions and their approximations. Vol. I, II
• A Theory of the Term Structure of Interest Rates
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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