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.

MoreLess

Year of publication:	2010-10-16
Authors:	Ardia, David ; Ospina, Juan ; Giraldo, Giraldo

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Ardia, David and Ospina, Juan and Giraldo, Giraldo (2010): Jump-Diffusion Calibration using Differential Evolution.
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C1 - Econometric and Statistical Methods: General
Source:	BASE

Persistent link: https://www.econbiz.de/10015225072