Simulated likelihood estimators for discretely observed jump-diffusions
DOI10.1016/J.JECONOM.2019.01.015zbMATH Open1456.62170OpenAlexW3125842649WikidataQ127474628 ScholiaQ127474628MaRDI QIDQ2280574FDOQ2280574
Authors: Kay Giesecke, Gustavo Schwenkler 
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
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asymptotic efficiencylikelihood inferencecomputational efficiencyjump-diffusionsunbiased density estimator
Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Jump processes on discrete state spaces (60J74)
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Cited In (10)
- Title not available (Why is that?)
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Efficient estimation and filtering for multivariate jump-diffusions
- Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
- Estimating jump-diffusions using closed-form likelihood expansions
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
- Empirical likelihood inference for the second-order jump-diffusion model
- Approximate maximum likelihood estimation of semi-parametric jump-diffusion model -- closed-expansion method based on transfer density
- On likelihood estimation for a discretely observed jump process
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