An asymptotic analysis of likelihood-based diffusion model selection using high frequency data

DOI10.1016/j.jeconom.2013.08.036zbMath1293.62168OpenAlexW2026630553MaRDI QIDQ2512621

Minsoo Jeong, Joon Y. Park, Hwan-sik Choi

Publication date: 7 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.036

zbMATH Keywords

diffusionmodel selectionlikelihood ratioinformation criterionspot interest ratehigh-frequency observation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (3)

Consistent estimation of drift parameter in diffusion model with misspecified volatility function ⋮ Information theory for maximum likelihood estimation of diffusion models ⋮ A likelihood ratio test for spatial model selection

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