Search Results - subject:"Reducible diffusions"

Modelling VIX and VIX derivatives with reducible diffusions

Tong, Zhigang - In: International journal of bonds and derivatives 3 (2017) 2, pp. 153-175

Persistent link: https://www.econbiz.de/10011807776

Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions

Choi, Seungmoon - School of Economics, University of Adelaide - 2011

The aim of this paper is to find approximate log-transition density functions for multivariate time-inhomogeneous diffusions in closed form. There are many empirical evidences supporting that the data generating process governing dynamics of many economics variables might vary over time because...

Persistent link: https://www.econbiz.de/10009195423

Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions

Choi, Seungmoon - School of Economics, University of Adelaide - 2010

The aim of this paper is to find approximate log-transition density functions for multivariate time-inhomogeneous diffusions in closed form. There are many empirical evidences that the underlying data generating processes for many economic variables might change over time. One possible way to...

Persistent link: https://www.econbiz.de/10008462903

Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions

Choi, Seungmoon - In: Journal of Econometrics 174 (2013) 2, pp. 45-65

Persistent link: https://www.econbiz.de/10011052325