A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
DOI10.1016/J.JECONOM.2012.09.002zbMATH Open1443.62222OpenAlexW2022365281MaRDI QIDQ528126FDOQ528126
Authors: A. S. Hurn, A. J. McClelland, K. A. Lindsay 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.qut.edu.au/218732/1/60148.pdf
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Cites Work
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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- Estimation of an Ergodic Diffusion from Discrete Observations
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Estimation for nonlinear stochastic differential equations by a local linearization method1
- Quasi‐maximum likelihood estimation of discretely observed diffusions
Cited In (10)
- Least-squares estimation for the subcritical Heston model based on continuous-time observations
- Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
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- A quasi-likelihood approach to estimating parameters in diffusion-type processes
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
- Maximum likelihood estimation of partially observed diffusion models
- Maximum likelihood estimation of latent Markov models using closed-form approximations
- Quasi-maximum likelihood estimation of multivariate diffusions
- Preliminary test and estimation in some multifactor diffusion processes
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