Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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Publication:5474965
DOI10.1111/1468-0262.00274zbMath1104.62323OpenAlexW2098754649WikidataQ60670619 ScholiaQ60670619MaRDI QIDQ5474965
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1468-0262.00274
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)
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- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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