Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model

DOI10.1111/JTSA.12499MaRDI QIDQ5111850zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

estimationleast squarestestingbias correctiondiffusion processescontinuous recordquasi-maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 3949563 (Why is no real title available?)
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• Closed-form likelihood expansions for multivariate diffusions
• Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
• Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
• Indirect estimation of stochastic differential equation models: some computational experiments
• Large Sample Properties of Generalized Method of Moments Estimators
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Parameter estimation and bias correction for diffusion processes
• The pricing of options and corporate liabilities
• Two singular diffusion problems

Cited in

(5)

• Improving the estimation and predictions of small time series models
• Bayesian analysis of constant elasticity of variance models
• Testing for the Box-Cox parameter for an integrated process
• Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
• A new methodology to estimate constant elasticity of variance

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