An asymptotic analysis of likelihood-based diffusion model selection using high frequency data (Q2512621): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fully Nonparametric Estimation of Scalar Diffusion Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limiting Distribution of the Maximum of a Diffusion Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the functional central limit theorem and the law of the iterated logarithm for Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the approximate maximum likelihood estimation for diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A test for model specification of diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improving robust model selection tests for dynamic models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5539510 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5539511 / rank
 
Normal rank
Property / cites work
 
Property / cites work: I-divergence geometry of probability distributions and minimization problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum and minimum of one-dimensional diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Information and Sufficiency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model selection tests for nonlinear dynamic models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for random walks, birth and death processes, and diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter estimation and bias correction for diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: An equilibrium characterization of the term structure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses / rank
 
Normal rank
Property / cites work
 
Property / cites work: A multivariate central limit theorem for continuous local martingales / rank
 
Normal rank

Revision as of 20:35, 8 July 2024

scientific article
Language Label Description Also known as
English
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
scientific article

    Statements

    An asymptotic analysis of likelihood-based diffusion model selection using high frequency data (English)
    0 references
    0 references
    0 references
    0 references
    7 August 2014
    0 references
    diffusion
    0 references
    model selection
    0 references
    high-frequency observation
    0 references
    likelihood ratio
    0 references
    information criterion
    0 references
    spot interest rate
    0 references
    0 references
    0 references
    0 references

    Identifiers