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Search: subject:"Stochastic Differential Equations"
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moments
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parameter estimation
2
stochastic differential equations
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maximum likelihood
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quasi-maximum likelihood
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simulation
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Hurn, Stan
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Jeisman, J.
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Lindsay, K.A.
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Lindsay, Kenneth
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National Centre for Econometric Research (NCER)
Finance Discipline Group, Business School
10
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5
Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano
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Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
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A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
Hurn, Stan
;
McClelland, Andrew
;
Lindsay, Kenneth
-
National Centre for Econometric Research (NCER)
-
2010
-dimensional
stochastic
differential
equations
. The transitional density is taken to be a time-varying multivariate Gaussian where the first …
Persistent link: https://www.econbiz.de/10008694498
Saved in:
2
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of
Stochastic
Differential
Equations
. Working paper #2
Hurn, Stan
;
Jeisman, J.
;
Lindsay, K.A.
-
National Centre for Econometric Research (NCER)
-
2006
Maximum-likelihood estimates of the parameters of
stochastic
differential
equations
are consistent and asymptotically …
Persistent link: https://www.econbiz.de/10005766333
Saved in:
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