Pages that link to "Item:Q289216"

The following pages link to Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (Q289216):

Displaying 36 items.

• Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions (Q366977) (← links)
• Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997) (← links)
• Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
• Hermite polynomial based expansion of European option prices (Q469560) (← links)
• Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
• Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
• Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes (Q511537) (← links)
• Estimation of dynamic models with nonparametric simulated maximum likelihood (Q738137) (← links)
• Variation-based tests for volatility misspecification (Q898596) (← links)
• Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (Q1630666) (← links)
• Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps (Q1640054) (← links)
• From bond yield to macroeconomic instability: a parsimonious affine model (Q1683157) (← links)
• A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
• Analytical representations for the basic affine jump diffusion (Q1785484) (← links)
• Efficient estimation and filtering for multivariate jump-diffusions (Q2024483) (← links)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (Q2032212) (← links)
• The term structure of equity and variance risk premia (Q2224879) (← links)
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
• Estimating functions for jump-diffusions (Q2274300) (← links)
• Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions (Q2419674) (← links)
• Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions (Q2439860) (← links)
• Quantile regression estimation for discretely observed SDE models with compound Poisson jumps (Q2440438) (← links)
• Density approximations for multivariate affine jump-diffusion processes (Q2442452) (← links)
• The delta expansion for the transition density of diffusion models (Q2512632) (← links)
• Asymptotic Inference for Jump Diffusions with State-Dependent Intensity (Q2815596) (← links)
• Closed-form likelihood estimation for one type of affine point processes (Q2830794) (← links)
• Risk adjustments of option prices under time-changed dynamics (Q2879017) (← links)
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications (Q3077491) (← links)
• DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT (Q3100995) (← links)
• CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION (Q3580636) (← links)
• Modelling electricity prices: a time change approach (Q5001192) (← links)
• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY (Q5221310) (← links)
• Goodness-of-Fit Test in Multivariate Jump Diffusion Models (Q6634860) (← links)