Likelihood-based inference for a class of multivariate diffusions with unobserved paths

DOI10.1016/J.JSPI.2006.05.017zbMath1114.62080OpenAlexW2165270915MaRDI QIDQ997298

Konstantinos Kalogeropoulos

Publication date: 23 July 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.05.017

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlodata augmentationHeston model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)

Related Items (6)

Quasi-maximum likelihood estimation of multivariate diffusions ⋮ Inference for stochastic volatility models using time change transformations ⋮ Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods ⋮ The computational cost of blocking for sampling discretely observed diffusions ⋮ Likelihood-based inference for correlated diffusions ⋮ Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

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