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  • Search: subject:"discrete time observations"
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Year of publication
Subject
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change point estimation 2 discrete time observations 2 volatility 2 Analysis 1 Bayesian analysis 1 Estimation 1 Estimation theory 1 It\^o processes 1 Ito processes 1 Mathematical analysis 1 Schätztheorie 1 Schätzung 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 diffusion processes 1 discrete-time observations 1 efficient method of moments (EMM) 1 estimating functions 1 indirect inference 1 likelihood approximations 1
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Online availability
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Free 3
Type of publication
All
Book / Working Paper 3
Type of publication (narrower categories)
All
Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
All
Yoshida, Nakahiro 2 Iacus, Stefano 1 Iacus, Stefano Maria 1 Sørensen, Helle 1
Institution
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Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano 1 Økonomisk Institut, Københavns Universitet 1
Published in...
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Discussion Papers / Økonomisk Institut, Københavns Universitet 1 UNIMI - Research Papers in Economics, Business, and Statistics 1 Working papers / Università degli Studi di Milano, Dipartimento di Scienze Economiche, Aziendali e Statistiche 1
Source
All
RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
Cover Image
Estimation for the change point of the volatility in a stochastic differential equation
Iacus, Stefano; Yoshida, Nakahiro - Dipartimento di Economia, Management e Metodi … - 2009
change is supposed to occur at some point t* in (0,T). Given discrete time observations from the process (X,Y), we propose …
Persistent link: https://www.econbiz.de/10009324417
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Cover Image
Estimation for the change point of the volatility in a stochastic differential equation
Iacus, Stefano Maria; Yoshida, Nakahiro - 2009
Persistent link: https://www.econbiz.de/10011751961
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Cover Image
Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey.
Sørensen, Helle - Økonomisk Institut, Københavns Universitet - 2002
This paper is a survey of existing estimation techniques for stationary and ergodic diffusion processes observed at discrete points in time. The reader is introduced to the following techniques: (i) estimating functions with special emphasis on martingale estimating functions and so-called...
Persistent link: https://www.econbiz.de/10005543460
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