Maximum likelihood estimation of partially observed diffusion models
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DOI: 10.1016/j.jeconom.2014.02.002
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Citations
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Cited by:
- Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017.
"Weak Diffusion Limits Of Dynamic Conditional Correlation Models,"
Econometric Theory, Cambridge University Press, vol. 33(3), pages 691-716, June.
- Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015. "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers 2015-03, Department of Economics and Business Economics, Aarhus University.
- Christian M. Hafner & Sébastien Laurent & Francesco Violante, 2017. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," Post-Print hal-01590010, HAL.
- Christian M. HAFNER & Sébastien LAURENT & Francesco VIOLANTE, 2017. "Weak diffusion limits of dynamic conditional correlation models," LIDAM Reprints CORE 2866, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, C. & Laurent, S. & Violante, F., 2016. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," LIDAM Discussion Papers ISBA 2016034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- HAFNER, Christian & LAURENT, Sebastien & VIOLANTE, Francesco, 2016. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," LIDAM Discussion Papers CORE 2016009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Laurent, Sebastien & Violante, Francesco, 2017. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," LIDAM Reprints ISBA 2017014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2024. "Maximum likelihood estimation of latent Markov models using closed-form approximations," Journal of Econometrics, Elsevier, vol. 240(2).
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More about this item
Keywords
Closed-form approximation; Diffusion model; Efficient importance sampler;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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