Quasi-likelihood estimation of a threshold diffusion process

DOI10.1016/j.jeconom.2015.03.038zbMath1337.62207OpenAlexW2168483283MaRDI QIDQ888343

Kung-Sik Chan, Fei Su

Publication date: 30 October 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.038

zbMATH Keywords

stochastic differential equationinterest ratesnonlinear time seriesGirsanov's theoremterm structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (8)

Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ Option Pricing with Threshold Diffusion Processes ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Approximate maximum likelihood estimation of a threshold diffusion process ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain

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