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Recursive estimation for continuous time stochastic volatility models using the Milstein approximation
Koulis, Theodoro; Paseka, Alexander; Thavaneswaran, … - In: Journal of mathematical finance 3 (2013) 3, pp. 357-365
Persistent link: https://www.econbiz.de/10010239543
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Inference for interest rate models using Milstein’s approximation
Koulis, Theodoro; Thavaneswaran, Aera - In: Journal of mathematical finance 3 (2013) 1, pp. 110-118
Persistent link: https://www.econbiz.de/10010240817
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On Lasso-type estimation for dynamical systems with small noise
Iacus, Stefano Maria - 2010
Persistent link: https://www.econbiz.de/10011752306
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Variation-based tests for volatility misspecification
Papanicolaou, Alex; Giesecke, Kay - In: Journal of econometrics 191 (2016) 1, pp. 217-230
Persistent link: https://www.econbiz.de/10011598102
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Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
Amaya, Diego; Boudreault, Mathieu; McLeish, Don L. - In: Journal of economic dynamics & control 100 (2019), pp. 297-313
Persistent link: https://www.econbiz.de/10012130974