Estimation for discretely observed diffusions using transform functions

DOI10.1239/jap/1082552193zbMath1049.62092MaRDI QIDQ4822454

Michael Sørensen, Eckhard Platen, Leah Kelly

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a8402ae1a6269e88eb532963f20a2dca54af47a5

zbMATH Keywords

discretely observed diffusion; transformation function; affine diffusion process

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

Related Items

Intraday empirical analysis and modeling of diversified world stock indices, Quasi‐maximum likelihood estimation of discretely observed diffusions

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