Estimating jump-diffusions using closed-form likelihood expansions
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Publication:311641
DOI10.1016/J.JECONOM.2016.07.001zbMATH Open1443.62361OpenAlexW2495559533MaRDI QIDQ311641FDOQ311641
Authors: Chen-Xu Li, Dachuan Chen 
Publication date: 13 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.07.001
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Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)
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Cited In (22)
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Likelihood inference for diffusions: a survey
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Asymptotic expansion and estimates of Wiener functionals
- The delta expansion for the transition density of diffusion models
- Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Closed-form likelihood expansions for multivariate diffusions
- Estimating functions for jump-diffusions
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- Pricing average and spread options under local-stochastic volatility jump-diffusion models
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- Maximum likelihood estimation of diffusions by continuous time Markov chain
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
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