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On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differenctial equations

Hurn, Stan; Lindsay, Kenneth A.; Martin, Vance - 1999

Persistent link: https://www.econbiz.de/10001517908

Estimating the parameters of stochastic differential equations by Monte Carlo methods

Hurn, Stan; Lindsay, Kenneth A. - 1995

Persistent link: https://www.econbiz.de/10000916033

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Hurn, Stan; McClelland, Andrew; Lindsay, Kenneth A. - 2010

Persistent link: https://www.econbiz.de/10008668669

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of econometrics 172 (2013) 1, pp. 106-126

Persistent link: https://www.econbiz.de/10009702297

Transitional densities of diffusion processes : a new approach to solving the Fokker-Plank equation

Hurn, Stan; Jeisman, J. I.; Lindsay, Kenneth A. - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 86-94

Persistent link: https://www.econbiz.de/10003498962

Seeing the wood for the trees : a critical evaluation of methods to estimate the parameters of stochastic differential equations

Hurn, Stan; Jeisman, J. I.; Lindsay, Kenneth A. - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 390-455

Persistent link: https://www.econbiz.de/10003518500

Estimating the parameters of stochastic volatility models using option price data

Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594

Persistent link: https://www.econbiz.de/10011403243

A comparative study of likelihood approximations for univariate diffusions

Hurn, Stan; Lindsay, Kenneth A.; Xu, Lina - In: Journal of financial econometrics 21 (2023) 3, pp. 852-879

Persistent link: https://www.econbiz.de/10014314834

On the Efficacy of Simulated Maximum Likelihood for Estimating the Parameters of Stochastic Differential Equation

Hurn, Stan; Lindsay, Kenneth; Martin, Vance L. - 2003

A method for estimating the parameters of stochastic differential equations (SDEs) by simulated maximum likelihood is presented. This method is feasible whenever the underlying SDE is a Markov process. Estimates are compared to those generated by indirect inference, discrete and exact maximum...

Persistent link: https://www.econbiz.de/10014087927

Estimating the parameters of stochastic volatility models using option price data

Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - 2012

Persistent link: https://www.econbiz.de/10009665916