scientific article; zbMATH DE number 1215450

MaRDI QIDQ4215580zbMATH OpenFDO

Authors Donald L. McLeish, Adam W. Kolkiewicz

Publication date 26 October 1998

zbMATH Keywords

estimating functionsfinanceIto-Taylor expansions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(7)

• Notes on financial econometrics
• Transition densities for interest rate and other nonlinear diffusions
• Estimating stochastic differential equations efficiently by minimum chi-squared
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• ANOVA for diffusions and Itō processes
• MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH
• Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application

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