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Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm

Zhang, Pu; Sun, Qi; Xiao, Wei-Lin - In: Economic Modelling 40 (2014) C, pp. 314-319

This paper deals with the problem of estimating the parameters of mixed Brownian–fractional Brownian motions with the combination of maximum likelihood approach and Powell's method. The maximum likelihood estimators are obtained based on the approximation by random walks of the driving noise....

Persistent link: https://www.econbiz.de/10010781984

Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models

Singer, Hermann - In: Computational Statistics 21 (2006) 3, pp. 385-397

Persistent link: https://www.econbiz.de/10005613158

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - In: Annals of finance 9 (2013) 2, pp. 217-248

Persistent link: https://www.econbiz.de/10009741196

Adaptive LASSO-type estimation for ergodic diffusion processes

Iacus, Stefano Maria; De Gregorio, Alessandro - 2010

Persistent link: https://www.econbiz.de/10011752309

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