Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
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Publication:289216
DOI10.1016/j.jeconom.2007.02.003zbMath1418.62291OpenAlexW2126506643MaRDI QIDQ289216
Publication date: 27 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.02.003
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
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