Search Results - subject:"discrete sampling"

On discrete sampling of time-varying continuous-time systems

Robinson, Peter - London School of Economics (LSE) - 2007

We consider a multivariate continuous time process, generated by a system of linear stochastic differential equations, driven by white noise and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points...

Persistent link: https://www.econbiz.de/10010928718

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2007

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

Persistent link: https://www.econbiz.de/10005762525

ON DISCRETE SAMPLING OF TIME-VARYINGCONTINUOUS-TIME SYSTEMS

Robinson, Peter - Suntory and Toyota International Centres for Economics … - 2007

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS P.M. Robinson …. Key Words and Phrases: Stochastic differential equations; time-varying coefficients; discrete sampling; irregular … approaches. Phillips and Yu (2005a,b, 2006) emphasize the magnitude of �nite sample bias due to the discrete sampling, and its …

Persistent link: https://www.econbiz.de/10005151150

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models

Yu, Jun - School of Economics, Singapore Management University - 2007

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we derive two expressions to approximate the bias of the least...

Persistent link: https://www.econbiz.de/10010561666

Structural change in macroeconomic time series: A complex systems perspective

Hinich, MJ; Foster, J; Wild, P - 2006

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of...

Persistent link: https://www.econbiz.de/10009448044

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Phillips, Peter C. B.; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2006

Persistent link: https://www.econbiz.de/10009365186

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete

Phillips, Peter C. B.; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2006

This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in Jacod (1994) and Barndorff-Nielsen and Shephard (2002),...

Persistent link: https://www.econbiz.de/10009365479

A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations

Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2005

This paper motivates and introduces a two-stage method for estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as recently developed in Barndorff-Nielsen and Shephard (2002), to...

Persistent link: https://www.econbiz.de/10005087391

Bias in the estimation of the mean reversion parameter in continuous time models

Yu, Jun - In: Journal of Econometrics 169 (2012) 1, pp. 114-122

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least...

Persistent link: https://www.econbiz.de/10010577512

Electricity consumption in Morocco: Stochastic Gompertz diffusion analysis with exogenous factors

Gutiérrez, R.; Gutiérrez-Sánchez, R.; Nafidi, A. - In: Applied Energy 83 (2006) 10, pp. 1139-1151

This paper proposes a means of using stochastic diffusion processes to model the total consumption of electrical power (including distribution and transport losses) in Morocco, as recorded by the official data for total sales published by Office Nationale de l'Électricité (ONE), the Moroccan...

Persistent link: https://www.econbiz.de/10008918781