An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Hwan-sik Choi; Minsoo Jeong; Joon Y. Park
| Year of publication: |
2014
|
|---|---|
| Authors: | Choi, Hwan-sik ; Jeong, Minsoo ; Park, Joon Y. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 178.2014, 1, p. 539-557
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| Subject: | Diffusion | Model selection | High frequency observation | Likelihood ratio | Information criterion | Spot interest rate | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Zins | Interest rate | Prognoseverfahren | Forecasting model | Innovationsdiffusion | Innovation diffusion | Zinsstruktur | Yield curve | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010256867