Quasi-maximum likelihood estimation of multivariate diffusions

DOI10.1515/SNDE-2012-0026MaRDI QIDQ5881686zbMATH OpenOpenAlexFDO

Authors Xiao Huang

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0026

zbMATH Keywords

quasi-maximum likelihood estimatorstochastic volatilitymultivariate diffusionWagner-Platen approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(10)

• GARCH quasi-likelihood ratios for SV model and the diffusion limit
• Quasi-maximum likelihood estimation for multiple volatility shifts
• Quasi‐maximum likelihood estimation of discretely observed diffusions
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes
• scientific article; zbMATH DE number 5518934 (Why is no real title available?)
• scientific article; zbMATH DE number 796350 (Why is no real title available?)
• A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
• Analytical quasi maximum likelihood inference in multivariate volatility models
• Quasi-likelihood estimation for semimartingales
• Fast maximum likelihood estimation of parameters for square root and Bessel processes

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