Simulated likelihood estimators for discretely observed jump-diffusions
DOI10.1016/j.jeconom.2019.01.015zbMath1456.62170OpenAlexW3125842649WikidataQ127474628 ScholiaQ127474628MaRDI QIDQ2280574
Gustavo Schwenkler, Kay Giesecke
Publication date: 19 December 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.01.015
asymptotic efficiencycomputational efficiencylikelihood inferencejump-diffusionsunbiased density estimator
Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Jump processes on discrete state spaces (60J74)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Simulation of nonhomogeneous poisson processes by thinning
- A Jump-Diffusion Model for Option Pricing
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Saddlepoint approximations for continuous-time Markov processes
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Estimating jump-diffusions using closed-form likelihood expansions
- On the approximate maximum likelihood estimation for diffusion processes
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Point processes and queues. Martingale dynamics
- The surprise element: Jumps in interest rates.
- Efficient Monte Carlo simulation of security prices
- Parameter estimation and model testing for Markov processes via conditional characteristic functions
- Closed-form likelihood expansions for multivariate diffusions
- Density approximations for multivariate affine jump-diffusion processes
- Exact simulation of diffusions
- Exact simulation problems for jump-diffusions
- Retrospective exact simulation of diffusion sample paths with applications
- A weak convergence criterion for constructing changes of measure
- ECF estimation of Markov models where the transition density is unknown
- Estimation of the coefficients of a diffusion from discrete observations
- No Arbitrage and General Semimartingales
- Smooth Transition Densities for One-Dimensional Diffusions
- The Asymptotic Efficiency of Simulation Estimators
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Particle Markov Chain Monte Carlo Methods
- Markov Chain Monte Carlo for Exact Inference for Diffusions
- Reducing Bias in Event Time Simulations via Measure Changes
- Exact Sampling of Jump Diffusions
- Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
- Estimation of affine asset pricing models using the empirical characteristic function
This page was built for publication: Simulated likelihood estimators for discretely observed jump-diffusions
