Estimating jump-diffusions using closed-form likelihood expansions
Chenxu Li, Dachuan Chen
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Li, Chenxu ; Chen, Dachuan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 195.2016, 1, p. 51-70
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| Subject: | Maximum-likelihood estimation | Jump-diffusion | Discrete observations | Transition density | Expansion | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705232