Efficient estimation and filtering for multivariate jump-diffusions
DOI10.1016/j.jeconom.2020.09.004zbMath1471.62448OpenAlexW3110073765MaRDI QIDQ2024483
Gustavo Schwenkler, François Guay
Publication date: 4 May 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.09.004
Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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