Parametric inference for discretely sampled stochastic differential equations
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Cited by:
- Yuichi Nagahara, 2008. "A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 175-184, December.
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More about this item
Keywords
Asymptotic results; discrete time observation of a diffusion; efficiency; eigenfunctions; explicit inference; generalized method of moments; likelihood infer- ence; martingale estimating functions; high frequency asymptotics; Pearson diffu- sions.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-06-27 (Econometrics)
- NEP-ETS-2008-06-27 (Econometric Time Series)
- NEP-MST-2008-06-27 (Market Microstructure)
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