Jump-Diffusion Calibration using Differential Evolution

The estimation of a jump-diffusion model via Differential Evolution is presented. Finding the maximum likelihood estimator for such processes is a tedious task due to the multimodality of the likelihood function. The performance of the Differential Evolution algorithm is compared to standard optimization techniques.

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Year of publication:	2010-10-16
Authors:	Ardia, David ; Ospina, Juan ; Giraldo, Giraldo
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Jump-diffusion \| maximum likelihood \| optimization \| Differential Evolution

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008685051