Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (Q289216): Difference between revisions

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Language	Label	Description	Also known as
English	Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan	scientific article

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instance of

scholarly article

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title

Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (English)

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author

Jialin Yu

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published in

Journal of Econometrics

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publication date

27 May 2016

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zbMATH Keywords

maximum likelihood estimation

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jump diffusion

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discrete sampling

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Chinese yuan

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currency realignment

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2007.02.003

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cites work

Nonparametric Pricing of Interest Rate Derivative Securities

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Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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Saddlepoint approximations for continuous-time Markov processes

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On the functional estimation of jump-diffusion models.

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Fully Nonparametric Estimation of Scalar Diffusion Models

0 references

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

0 references

Power Variation and Time Change

0 references

Q3996311

0 references

Point processes and queues. Martingale dynamics

0 references

Stochastic Volatility for Lévy Processes

0 references

Efficient estimation of general dynamic models with a continuum of moment conditions

0 references

Q5551644

0 references

Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals

0 references

Transform Analysis and Asset Pricing for Affine Jump-diffusions

0 references

Likelihood Inference for Discretely Observed Nonlinear Diffusions

0 references

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

0 references

Q4403099

0 references

Q4073584

0 references

Estimating equations based on eigenfunctions for a discretely observed diffusion process

0 references

Q4834284

0 references

Q3996259

0 references

Q4226355

0 references

The Stochastic Difference Between Econometric Statistics

0 references

Q5526189

0 references

Estimation of affine asset pricing models using the empirical characteristic function

0 references

Diffusion processes in a small time interval

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Maximum Likelihood Estimation of Misspecified Models

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Identifiers

zbMATH Open document ID

1418.62291

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Mathematics Subject Classification ID

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10.1016/J.JECONOM.2007.02.003

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Sitelinks

Mathematics(1 entry)

mardi Publication:289216

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+Nonparametric Pricing of Interest Rate Derivative Securities
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@@ Property / cites work @@
+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
+Normal rank
@@ Property / cites work @@
+Saddlepoint approximations for continuous-time Markov processes
+Normal rank
@@ Property / cites work @@
+On the functional estimation of jump-diffusion models.
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@@ Property / cites work @@
+Fully Nonparametric Estimation of Scalar Diffusion Models
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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@@ Property / cites work @@
+Power Variation and Time Change
@@ Property / cites work: Power Variation and Time Change / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996311
@@ Property / cites work: Q3996311 / rank @@
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient estimation of general dynamic models with a continuum of moment conditions
+Normal rank
@@ Property / cites work @@
+Q5551644
@@ Property / cites work: Q5551644 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Likelihood Inference for Discretely Observed Nonlinear Diffusions
+Normal rank
@@ Property / cites work @@
+Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
+Normal rank
@@ Property / cites work @@
+Q4403099
@@ Property / cites work: Q4403099 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4073584
@@ Property / cites work: Q4073584 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating equations based on eigenfunctions for a discretely observed diffusion process
+Normal rank
@@ Property / cites work @@
+Q4834284
@@ Property / cites work: Q4834284 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+The Stochastic Difference Between Econometric Statistics
+Normal rank
@@ Property / cites work @@
+Q5526189
@@ Property / cites work: Q5526189 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of affine asset pricing models using the empirical characteristic function
+Normal rank
@@ Property / cites work @@
+Diffusion processes in a small time interval
@@ Property / cites work: Diffusion processes in a small time interval / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum Likelihood Estimation of Misspecified Models
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2007.02.003
@@ Property / DOI: 10.1016/J.JECONOM.2007.02.003 / rank @@
+Normal rank