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

zbMATH Keywords

momentsparameter estimationstochastic differential equationsquasi-maximum likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

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Cites work

• scientific article; zbMATH DE number 108341 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Closed-form likelihood expansions for multivariate diffusions
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• 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.
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Quasi‐maximum likelihood estimation of discretely observed diffusions

Cited in

(13)

• Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
• Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
• Maximum likelihood estimation of partially observed diffusion models
• scientific article; zbMATH DE number 2133113 (Why is no real title available?)
• Least-squares estimation for the subcritical Heston model based on continuous-time observations
• Preliminary test and estimation in some multifactor diffusion processes
• Quasi-likelihood estimation of a threshold diffusion process
• Quasi‐maximum likelihood estimation of discretely observed diffusions
• Quasi-maximum likelihood estimation of multivariate diffusions
• Maximum likelihood estimation of latent Markov models using closed-form approximations
• A quasi-likelihood approach to estimating parameters in diffusion-type processes
• Parameter estimation for multivariate diffusion systems
• Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix

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