Likelihood-based inference for a class of multivariate diffusions with unobserved paths

DOI10.1016/j.jspi.2006.05.017zbMath1114.62080OpenAlexW2165270915MaRDI QIDQ997298

Konstantinos Kalogeropoulos

Publication date: 23 July 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.05.017

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlodata augmentationHeston model

Mathematics Subject Classification ID

Related Items (6)

Quasi-maximum likelihood estimation of multivariate diffusions ⋮ Inference for stochastic volatility models using time change transformations ⋮ Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods ⋮ The computational cost of blocking for sampling discretely observed diffusions ⋮ Likelihood-based inference for correlated diffusions ⋮ Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

Cites Work

• Statistical methods in finance
• Alternative models for stock price dynamics.
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• The Calculation of Posterior Distributions by Data Augmentation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation
• Stochastic differential equations. An introduction with applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Likelihood-based inference for a class of multivariate diffusions with unobserved paths