Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
From MaRDI portal
Publication:2439860
DOI10.1016/j.jeconom.2011.12.007zbMath1283.60106OpenAlexW2097099913MaRDI QIDQ2439860
Publication date: 18 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.12.007
likelihood functionirreducible diffusionsmultivariate time-inhomogeneous diffusionreducible diffusions
Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Related Items (8)
Estimating jump-diffusions using closed-form likelihood expansions ⋮ Explicit form of approximate transition probability density functions of diffusion processes ⋮ A new delta expansion for multivariate diffusions via the Itô-Taylor expansion ⋮ Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps ⋮ Approximate maximum likelihood estimation of a threshold diffusion process ⋮ The delta expansion for the transition density of diffusion models ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
- A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
- Asymptotic optimal inference for non-ergodic models
- The problem of identification in finite parameter continuous time models
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- A simple expression for the multivariate Hermite polynomials
- Closed-form likelihood expansions for multivariate diffusions
- Time-inhomogeneous affine processes
- On the uniqueness of solutions of stochastic differential equations. II
- On the uniqueness of solutions of stochastic differential equations
- Simulated Moments Estimation of Markov Models of Asset Prices
- Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
- The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Nonparametric Pricing of Interest Rate Derivative Securities
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing Interest-Rate-Derivative Securities
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- A 2-dimensional SDE whose solutions are not unique
This page was built for publication: Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
