A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
type: Item
instance of: scholarly article
title: A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
zbMATH Open document ID: 1452.62607
author: Nian Yang
author: Nan Chen
author: Xiangwei Wan
published in: Journal of Econometrics
publication date: 2019-04-30T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7049037
zbMATH Keywords: closed-form density expansion
zbMATH Keywords: delta expansion
zbMATH Keywords: Itô-Taylor expansion
zbMATH Keywords: multivariate diffusions
zbMATH Keywords: maximum likelihood estimation
MaRDI profile type: Publication
full work available at URL: j.jeconom.2019.01.003
OpenAlex ID: W2912842501
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DOI: 10.1016/J.JECONOM.2019.01.003
description: scientific article; zbMATH DE number 7049037