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Estimation in Discretely Observed Diffusions Killed at a Threshold

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  • ENRICO BIBBONA
  • SUSANNE DITLEVSEN

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  • Enrico Bibbona & Susanne Ditlevsen, 2013. "Estimation in Discretely Observed Diffusions Killed at a Threshold," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(2), pages 274-293, June.
    • Handle: RePEc:bla:scjsta:v:40:y:2013:i:2:p:274-293
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    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2012.00810.x
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    References listed on IDEAS

    as
    1. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Enrico Bibbona & Laura Sacerdote & Emiliano Torre, 2016. "A Copula-Based Method to Build Diffusion Models with Prescribed Marginal and Serial Dependence," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 765-783, September.

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