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Stochastic process
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14
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likelihood inference
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optimal estimating function
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English
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Sørensen, Michael
12
Bibby, Bo Martin
4
Baltazar-Larios, Fernando
2
Bladt, Mogens
2
Asmussen, Søren
1
Gloter, Arnaud
1
Jacobsen, Martin
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Küchler, Uwe
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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Handbook of financial time series
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Handbook of heavy tailed distributions in finance
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ECONIS (ZBW)
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Small dispersion asymptotics for diffusion martingale estimating functions
Sørensen, Michael
-
2000
Persistent link: https://www.econbiz.de/10001456710
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2
Prediction-based estimating functions : review and new developments
Sørensen, Michael
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2011
Persistent link: https://www.econbiz.de/10008807426
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3
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael
- In:
Handbook of financial time series
,
(pp. 531-553)
.
2009
Persistent link: https://www.econbiz.de/10003834179
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4
Diffusion-type models with given marginal and autocorrelation function
Bibby, Bo Martin
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748916
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5
Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
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6
Hyperbolic process in finance
Bibby, Bo Martin
;
Sørensen, Michael
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 211-248)
.
2003
Persistent link: https://www.econbiz.de/10001882077
Saved in:
7
Estimating functions for discretely sampled diffusion-type models
Bibby, Bo Martin
;
Jacobsen, Martin
;
Sørensen, Michael
-
2010
Persistent link: https://www.econbiz.de/10003900641
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8
Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando
;
Sørensen, Michael
-
2010
Persistent link: https://www.econbiz.de/10008651742
Saved in:
9
Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando
;
Sørensen, Michael
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 407-423)
.
2010
Persistent link: https://www.econbiz.de/10008749174
Saved in:
10
Statistical inference for discrete-time samples from affine stochastic delay differential equations
Küchler, Uwe
(
contributor
);
Sørensen, Michael
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003413529
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