Efficient estimation and filtering for multivariate jump-diffusions
type: Item
instance of: scholarly article
title: Efficient estimation and filtering for multivariate jump-diffusions
zbMATH Open document ID: 1471.62448
author: François Guay
author: Gustavo Schwenkler
published in: Journal of Econometrics
publication date: 2021-05-04T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7343314
zbMATH Keywords: multivariate jump-diffusions
zbMATH Keywords: likelihood inference
zbMATH Keywords: filtering
zbMATH Keywords: density estimation
zbMATH Keywords: efficiency
MaRDI profile type: Publication
full work available at URL: j.jeconom.2020.09.004
OpenAlex ID: W3110073765
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DOI: 10.1016/J.JECONOM.2020.09.004
description: scientific article; zbMATH DE number 7343314