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A simple estimator for discrete-time samples from affine stochastic delay differential equations

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  • Uwe Küchler
  • Michael Sørensen

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  • Uwe Küchler & Michael Sørensen, 2010. "A simple estimator for discrete-time samples from affine stochastic delay differential equations," Statistical Inference for Stochastic Processes, Springer, vol. 13(2), pages 125-132, June.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:2:p:125-132
    DOI: 10.1007/s11203-010-9042-y
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    References listed on IDEAS

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    1. Küchler, Uwe & Platen, Eckhard, 2000. "Strong discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 189-205.
    2. Gushchin, Alexander A. & Küchler, Uwe, 2000. "On stationary solutions of delay differential equations driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 195-211, August.
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    Cited by:

    1. Becker, Christoph & Schmidt, Wolfgang M., 2013. "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 174-194.

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