Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
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DOI: 10.1016/j.matcom.2008.01.007
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- Moreno, M. & Serrano, P. & Stute, Winfried, 2008. "Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects," DEE - Working Papers. Business Economics. WB wb084912, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
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Keywords
Empirical likelihood; Conditional characteristic functions; CIR model; Vasicek with exponential jumps model;All these keywords.
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