Consistent estimation of drift parameter in diffusion model with misspecified volatility function

DOI10.1016/J.ECONLET.2021.110237MaRDI QIDQ2126157zbMATH OpenOpenAlexFDO

Authors Minsoo Jeong

Publication date 14 April 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.110237

zbMATH Keywords

consistencydiffusion modeldrift and diffusion functionsmaximum likelihood estimationmisspecification

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Actuarial science and mathematical finance (91G99)

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Cites work

• An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Estimation of an Ergodic Diffusion from Discrete Observations
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On Information and Sufficiency
• Variation-based tests for volatility misspecification

Cited in

(4)

• Consistent estimation in regression models for the drift function in some continuous time models
• Efficient estimation of drift parameters in stochastic volatility models
• scientific article; zbMATH DE number 6002089 (Why is no real title available?)
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified

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