Simulated likelihood estimators for discretely observed jump-diffusions
From MaRDI portal
asymptotic efficiencylikelihood inferencecomputational efficiencyjump-diffusionsunbiased density estimator
Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Jump processes on discrete state spaces (60J74)
Recommendations
- On likelihood estimation for a discretely observed jump process
- ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Efficient estimation and filtering for multivariate jump-diffusions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
Cites work
- scientific article; zbMATH DE number 3711181 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- A jump-diffusion model for option pricing
- A weak convergence criterion for constructing changes of measure
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Closed-form likelihood expansions for multivariate diffusions
- Density approximations for multivariate affine jump-diffusion processes
- ECF estimation of Markov models where the transition density is unknown
- Efficient Monte Carlo simulation of security prices
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Empirical dynamic asset pricing: model specification and econometric assessment
- Estimating jump-diffusions using closed-form likelihood expansions
- Estimation of affine asset pricing models using the empirical characteristic function
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Estimation of the coefficients of a diffusion from discrete observations
- Exact sampling of jump diffusions
- Exact simulation of diffusions
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Exact simulation problems for jump-diffusions
- Localization and exact simulation of Brownian motion-driven stochastic differential equations
- Markov chain Monte Carlo for exact inference for diffusions
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- No Arbitrage and General Semimartingales
- On the approximate maximum likelihood estimation for diffusion processes
- Parameter estimation and model testing for Markov processes via conditional characteristic functions
- Particle Markov Chain Monte Carlo Methods
- Point processes and queues. Martingale dynamics
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Reducing bias in event time simulations via measure changes
- Retrospective exact simulation of diffusion sample paths with applications
- Saddlepoint approximations for continuous-time Markov processes
- Simulation of nonhomogeneous poisson processes by thinning
- Smooth Transition Densities for One-Dimensional Diffusions
- The Asymptotic Efficiency of Simulation Estimators
- The surprise element: Jumps in interest rates.
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(10)- scientific article; zbMATH DE number 2133113 (Why is no real title available?)
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Efficient estimation and filtering for multivariate jump-diffusions
- Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
- Estimating jump-diffusions using closed-form likelihood expansions
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
- Empirical likelihood inference for the second-order jump-diffusion model
- Approximate maximum likelihood estimation of semi-parametric jump-diffusion model -- closed-expansion method based on transfer density
- On likelihood estimation for a discretely observed jump process
This page was built for publication: Simulated likelihood estimators for discretely observed jump-diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2280574)
