Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model
DOI10.1111/JTSA.12499zbMATH Open1445.62228OpenAlexW2966080084WikidataQ127406533 ScholiaQ127406533MaRDI QIDQ5111850FDOQ5111850
Authors: Emma M. Iglesias, G. D. A. Phillips 
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12499
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- The pricing of options and corporate liabilities
- Two singular diffusion problems
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Closed-form likelihood expansions for multivariate diffusions
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Parameter estimation and bias correction for diffusion processes
- Title not available (Why is that?)
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Bias in the estimation of the mean reversion parameter in continuous time models
- Bias in the estimation of mean reversion in continuous-time Lévy processes
- Bias in estimating multivariate and univariate diffusions
- Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
- Indirect estimation of stochastic differential equation models: some computational experiments
Cited In (3)
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