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

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)

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 (1)

• Improving the estimation and predictions of small time series models

This page was built for publication: Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5111850)