Search Results - subject:"diffusion processes"

Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview

Jimenez, J.; Biscay, R.; Ozaki, T. - In: Asia-Pacific Financial Markets 12 (2005) 2, pp. 109-141

Persistent link: https://www.econbiz.de/10005727096

On Time-Reversibility and Estimating Functions for Markov Processes

Kessler, Mathieu; Sørensen, Michael - In: Statistical Inference for Stochastic Processes 8 (2005) 1, pp. 95-107

Persistent link: https://www.econbiz.de/10005616014

Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices

Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2005

The popularity of Kalman filter is increasing in financial studies, notably to estimate diffusion processes. In this …

Persistent link: https://www.econbiz.de/10005710029

Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions

Kessler, M.; Rahbek, A. - In: Statistical Inference for Stochastic Processes 7 (2004) 2, pp. 137-151

Persistent link: https://www.econbiz.de/10005616066

Measuring Spillovers from Industrial R&D: On the Importance of Geographic and Technological Proximity

Orlando, Michael J. - In: RAND Journal of Economics 35 (2004) 4, pp. 777-786

I present evidence to suggest that an important share of the apparent geographic localization of spillovers from industrial R&D may be an artifact of other agglomerative forces. A production-function framework is used to examine the role of geographic and technological proximity for interfirm...

Persistent link: https://www.econbiz.de/10005146430

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes.

Rindisbacher, Marcel; Detemple, Jérôme; Garcia, René - Econometric Society - 2004

This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. Two types of estimators … diffusion processes …

Persistent link: https://www.econbiz.de/10005329028

An emprically-based taxonomy of Dutch manufacturing: innovation policy implications

Raymond W.; Mohnen P.; Palm F.C.; Schim van der Loeff S. - Graduate School of Business and Economics (GSBE), … - 2004

Persistent link: https://www.econbiz.de/10011165157

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed …

Persistent link: https://www.econbiz.de/10005839064

A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems

Ninomiya, Syoiti - In: Mathematics and Computers in Simulation (MATCOM) 62 (2003) 3, pp. 479-486

We apply a new simulation scheme proposed by Kusuoka to finance problems. By using this method, we achieve 6500 times faster simulation than traditional Euler–Maruyama scheme.

Persistent link: https://www.econbiz.de/10010748452

Likelihood Ratio Processes for Markovian Particle Systems with Killing and Jumps

Löcherbach, E. - In: Statistical Inference for Stochastic Processes 5 (2002) 2, pp. 153-177

Persistent link: https://www.econbiz.de/10005391484