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Approximate maximum likelihood estimation for one‐dimensional diffusions observed on a fine grid
Work
Year: 2021
Type: article
Abstract: We consider a one‐dimensional stochastic differential equation that is observed on a fine grid of equally spaced time points. A novel approach for approximating the transition density of the stochast... more
Source: Scandinavian Journal of Statistics
Authors Kevin W. Lu, Phillip J. Paine, Simon Preston, Andrew Wood
Institutions University of Washington, University of Nottingham, Australian National University
Cites: 40
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Related to: 10
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Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green