Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

DOI10.1007/978-3-540-71297-8_22zbMath1178.91230OpenAlexW2021971437MaRDI QIDQ3646968

Jun Yu, Peter C. B. Phillips

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/947

zbMATH Keywords

Monte Carlo simulationtransition densitymaximum likelihood (ML)numerical ML

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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