Truncated dynamics and estimation of diffusion equations

DOI10.1016/S0304-4076(00)00085-3zbMath0973.62069MaRDI QIDQ5939357

Serge Darolles, Christian Gouriéroux

Publication date: 5 December 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

truncationsieve methodinfinitesimal generatorextreme riskshigh-frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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