Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

DOI10.1007/978-3-540-71297-8_22zbMath1178.91230MaRDI QIDQ3646968

Jun Yu, Peter C. B. Phillips

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/947

zbMATH Keywords

Monte Carlo simulation; transition density; maximum likelihood (ML); numerical ML

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

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