Maximum likelihood estimation of partially observed diffusion models
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Cites work
- scientific article; zbMATH DE number 3949563 (Why is no real title available?)
- scientific article; zbMATH DE number 758455 (Why is no real title available?)
- scientific article; zbMATH DE number 1456803 (Why is no real title available?)
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
- A semiparametric stochastic volatility model
- ARCH models as diffusion approximations
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Bayesian analysis of structural credit risk models with microstructure noises
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Closed-form likelihood expansions for multivariate diffusions
- Efficient high-dimensional importance sampling
- Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
- Estimating the structural credit risk model when equity prices are contaminated by trading noises
- Estimation for nonlinear stochastic differential equations by a local linearization method1
- Generalized autoregressive conditional heteroscedasticity
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Likelihood analysis of non-Gaussian measurement time series
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Multivariate Stochastic Variance Models
- Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations
- Numerical Optimization
- On leverage in a stochastic volatility model
- Quasi-maximum likelihood estimation of stochastic volatility models
- Saddlepoint approximations for continuous-time Markov processes
- Simulated maximum likelihood estimation of continuous time stochastic volatility models
- Testing the assumptions behind importance sampling
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(12)- MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
- Maximum likelihood estimation for integrated diffusion processes
- Weak diffusion limits of dynamic conditional correlation models
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Filtering for partially observed diffusion and its applications
- Maximum likelihood estimation of latent Markov models using closed-form approximations
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Maximum likelihood inference for univariate delay differential equation models with multiple delays
- Maximum likelihood estimation of the DDRCINAR(p) model
- Estimation of regime-switching diffusions via Fourier transforms
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