The likelihood of mixed hitting times

DOI10.1016/j.jeconom.2019.08.017OpenAlexW2186102378MaRDI QIDQ2043238

Jaap H. Abbring, Tim Salimans

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.03463

zbMATH Keywords

mixtureidentificationLaplace transformoptimal stoppingmaximum likelihoodfirst passage timeLévy processduration analysisMellin's inverse formulastrike duration

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

The likelihood of mixed hitting times ⋮ mht-likelihood

Uses Software

• Matlab

Cites Work

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