An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Year of publication: |
2014
|
---|---|
Authors: | Choi, Hwan-sik ; Jeong, Minsoo ; Park, Joon Y. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 178.2014, P3, p. 539-557
|
Publisher: |
Elsevier |
Subject: | Diffusion | Model selection | High frequency observation | Likelihood ratio | Information criterion | Spot interest rate |
-
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik, (2014)
-
Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile
Pincheira, Pablo, (2018)
-
Bond risk premia, macroeconomic factors and financial crisis in the euro area
García, Juan Angel, (2016)
- More ...
-
Choi, Hwan-sik, (2009)
-
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik, (2014)
-
Re-examining the time-varying relationship between health and income distributions
Jeong, Minsoo, (2022)
- More ...