Estimation of Equicorrelated Diffusions from Incomplete Data
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More about this item
Keywords
Maximum likelihood; Equicorrelation; Correlated di usions; Wiener process; Missing data;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-12-13 (Econometrics)
- NEP-ORE-2011-12-13 (Operations Research)
- NEP-RMG-2011-12-13 (Risk Management)
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