Bias in estimating multivariate and univariate diffusions
type: Item
instance of: scholarly article
title: Bias in estimating multivariate and univariate diffusions
zbMATH Open document ID: 1441.62900
author: Xiaohu Wang
author: Peter C. B. Phillips
author: Jun Yu
published in: Journal of Econometrics
publication date: 2016-08-10T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/soe_research/1235
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6610691
zbMATH Keywords: bias
zbMATH Keywords: diffusion
zbMATH Keywords: Euler approximation
zbMATH Keywords: trapezoidal approximation
zbMATH Keywords: Milstein approximation
MaRDI profile type: Publication
OpenAlex ID: W2099794747
cites work: Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
cites work: Closed-form likelihood expansions for multivariate diffusions
cites work: Saddlepoint approximations for continuous-time Markov processes
cites work: On skewness and kurtosis of econometric estimators
cites work: Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations
cites work: Q3719692
cites work: The pricing of options and corporate liabilities
cites work: A theory of the term structure of interest rates
cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES
cites work: Approximate discrete-time schemes for statistics of diffusion processes
cites work: Two singular diffusion problems
cites work: Q4124141
cites work: Q5612941
cites work: The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
cites work: A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
cites work: Q3819858
cites work: Q4834284
cites work: The Structural Estimation of a Stochastic Differential Equation System
cites work: The problem of identification in finite parameter continuous time models
cites work: Comment: A selective overview of nonparametric methods in financial econometrics
cites work: Q4772597
cites work: Parameter estimation and bias correction for diffusion processes
cites work: An equilibrium characterization of the term structure
cites work: Asymptotic bias of the least squares estimator for multivariate autoregressive models
DOI: 10.1016/J.JECONOM.2010.12.006
description: scientific article; zbMATH DE number 6610691