A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
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Publication:528126
DOI10.1016/j.jeconom.2012.09.002zbMath1443.62222OpenAlexW2022365281MaRDI QIDQ528126
A. S. Hurn, A. J. McClelland, Kenneth A. Lindsay
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.qut.edu.au/218732/1/60148.pdf
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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