Quasi-maximum likelihood estimation of multivariate diffusions

DOI10.1515/snde-2012-0026zbMath1506.62510OpenAlexW2009864244MaRDI QIDQ5881686

Xiao Huang

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0026

zbMATH Keywords

stochastic volatilityquasi-maximum likelihood estimatormultivariate diffusionWagner-Platen approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Fast maximum likelihood estimation of parameters for square root and Bessel processes

Cites Work

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