Closed-Form Likelihood Expansions for Multivariate Diffusions
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References listed on IDEAS
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"The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions,"
Econometrica, Econometric Society, vol. 71(2), pages 483-549, March.
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"Estimating affine multifactor term structure models using closed-form likelihood expansions,"
Journal of Financial Economics, Elsevier, vol. 98(1), pages 113-144, October.
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Cited by:
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000.
"Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions,"
IDEI Working Papers
116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
- Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
- Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations," Working Papers halshs-00408014, HAL.
- Aït-Sahalia, Yacine & Kimmel, Robert L., 2010.
"Estimating affine multifactor term structure models using closed-form likelihood expansions,"
Journal of Financial Economics, Elsevier, vol. 98(1), pages 113-144, October.
- Yacine Aït-Sahalia & Robert Kimmel, 2002. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," NBER Technical Working Papers 0286, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Yacine & Kimmel, Robert L., 2008. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Working Paper Series 2008-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Patrick Cheridito & Damir Filipovic, 2004. "Market Price of Risk Specifications for Affine Models: Theory and Evidence," Econometric Society 2004 North American Winter Meetings 536, Econometric Society.
- Hurn, A.S. & Lindsay, K.A. & McClelland, A.J., 2013.
"A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions,"
Journal of Econometrics, Elsevier, vol. 172(1), pages 106-126.
- Stan Hurn & Andrew McClelland & Kenneth Lindsay, 2010. "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions," NCER Working Paper Series 65, National Centre for Econometric Research.
- Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, University Library of Munich, Germany.
- Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, Department of Economics and Business Economics, Aarhus University.
- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004.
"Likelihood based inference for diffusion driven models,"
OFRC Working Papers Series
2004fe17, Oxford Financial Research Centre.
- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.
- Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
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More about this item
JEL classification:
- 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
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-06-13 (Econometrics)
- NEP-ETS-2002-06-13 (Econometric Time Series)
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