Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities

This article surveys recent developments to estimate and test continuous-time models in finance using discrete observations on the underlying asset price or derivative securities' prices. Both parametric and nonparametric methods are described. All these methods share a common focus on the transition density as the central object for inference and testing of the model.

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Year of publication:	2009
Authors:	Aït-Sahalia, Yacine
Published in:	Annual Review of Financial Economics. - Annual Reviews, ISSN 1941-1367. - Vol. 1.2009, 1, p. 341-359
Publisher:	Annual Reviews
Subject:	maximum-likelihood \| diffusions \| jumps \| Markov processes

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Extent:	application/pdf
Type of publication:	Article
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008777008