Estimating jump-diffusions using closed-form likelihood expansions
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Publication:311641
DOI10.1016/j.jeconom.2016.07.001zbMath1443.62361OpenAlexW2495559533MaRDI QIDQ311641
Publication date: 13 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.07.001
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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