Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
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Publication:929715
DOI10.1016/J.MATCOM.2008.01.007zbMath1163.60322OpenAlexW2013023098MaRDI QIDQ929715
Yoshihiko Nishiyama, Qingfeng Liu
Publication date: 18 June 2008
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.007
empirical likelihoodCIR modelconditional characteristic functionsVasicek with exponential jumps model
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Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
Uses Software
Cites Work
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