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Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan

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  1. Kaffel, Bilel & Abid, Fathi, 2009. "A methodology for the choice of the best fitting continuous-time stochastic models of crude oil price," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 971-1000, August.
  2. Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010. "Simulated maximum likelihood estimation of continuous time stochastic volatility models," Advances in Econometrics, in: Maximum Simulated Likelihood Methods and Applications, pages 137-161, Emerald Group Publishing Limited.
  3. Yang, Nian & Chen, Nan & Wan, Xiangwei, 2019. "A new delta expansion for multivariate diffusions via the Itô-Taylor expansion," Journal of Econometrics, Elsevier, vol. 209(2), pages 256-288.
  4. Liang, J. & Gao, Y., 2012. "Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives," Economic Modelling, Elsevier, vol. 29(4), pages 1278-1285.
  5. Aït-Sahalia, Yacine & Fan, Jianqing & Peng, Heng, 2009. "Nonparametric Transition-Based Tests for Jump Diffusions," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1102-1116.
  6. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics and Public Policy Working Papers 2011-26, University of Adelaide, School of Economics and Public Policy.
  7. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
  8. Maciej Kostrzewski, 2015. "Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(1), pages 43-70, March.
  9. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
  10. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  11. José Antonio Núñez. & Elizabeth Ortega., 2011. "Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 34(1), pages 43-63, Enero-Jun.
  12. Patrice Takam Soh & Eugene Kouassi & Renaud Fadonougbo & Martin Kegnenlezom, 2021. "Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1," Computational Statistics, Springer, vol. 36(2), pages 1153-1176, June.
  13. Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers 10-2011, Singapore Management University, School of Economics.
  14. 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.
  15. Giesecke, K. & Schwenkler, G., 2019. "Simulated likelihood estimators for discretely observed jump–diffusions," Journal of Econometrics, Elsevier, vol. 213(2), pages 297-320.
  16. Dennis Kristensen & Young Jun Lee & Antonio Mele, 2023. "Closed-form approximations of moments and densities of continuous-time Markov models," Papers 2308.09009, arXiv.org.
  17. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022. "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, vol. 77(6), pages 3093-3140, December.
  18. I. Gaia Becheri & Feike C. Drost & Bas J.M. Werker, 2016. "Asymptotic Inference for Jump Diffusions with State-Dependent Intensity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 520-542, June.
  19. Choi, Seungmoon, 2018. "Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 40(4), pages 1-22.
  20. Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  21. Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
  22. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
  23. Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
  24. Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
  25. Li, Chenxu & Chen, Dachuan, 2016. "Estimating jump–diffusions using closed-form likelihood expansions," Journal of Econometrics, Elsevier, vol. 195(1), pages 51-70.
  26. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
  27. Lee, Yoon Dong & Song, Seongjoo & Lee, Eun-Kyung, 2014. "The delta expansion for the transition density of diffusion models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 694-705.
  28. Maciej Kostrzewski, 2014. "Bayesian DEJD model and detection of asymmetric jumps," Papers 1404.2050, arXiv.org.
  29. Choi, Seungmoon, 2015. "Explicit form of approximate transition probability density functions of diffusion processes," Journal of Econometrics, Elsevier, vol. 187(1), pages 57-73.
  30. Figueroa-López, José E. & Luo, Yankeng, 2018. "Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4207-4245.
  31. Seungmoon Choi, 2015. "Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 21(4), pages 28-58, December.
  32. Sandun Perera & Winston Buckley & Hongwei Long, 2018. "Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps," Annals of Operations Research, Springer, vol. 262(1), pages 213-238, March.
  33. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
  34. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
  35. Kristensen, Dennis & Lee, Young Jun & Mele, Antonio, 2024. "Closed-form approximations of moments and densities of continuous–time Markov models," Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
  36. Recchioni, Maria Cristina & Tedeschi, Gabriele, 2017. "From bond yield to macroeconomic instability: A parsimonious affine model," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1116-1135.
  37. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
  38. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
  39. Papanicolaou, Alex & Giesecke, Kay, 2016. "Variation-based tests for volatility misspecification," Journal of Econometrics, Elsevier, vol. 191(1), pages 217-230.
  40. E. Nicolato & D. Sloth, 2014. "Risk adjustments of option prices under time-changed dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 125-141, January.
  41. Guo, Qianwen & Chen, Shumin & Sun, Yanshuo & Schonfeld, Paul, 2023. "Investment timing and length choice for a rail transit line under demand uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 175(C).
  42. Di Zhang & Roderick V. N. Melnik, 2009. "First passage time for multivariate jump‐diffusion processes in finance and other areas of applications," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(5), pages 565-582, September.
  43. Bin Chen & Yongmiao Hong, 2013. "Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  44. Jos'e E. Figueroa-L'opez & Yankeng Luo, 2015. "Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity," Papers 1505.04459, arXiv.org, revised Dec 2015.
  45. Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
  46. Figueroa-López, José E. & Gong, Ruoting & Houdré, Christian, 2012. "Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1808-1839.
  47. Noh, Jungsik & Lee, Seung Y. & Lee, Sangyeol, 2012. "Quantile regression estimation for discretely observed SDE models with compound Poisson jumps," Economics Letters, Elsevier, vol. 117(3), pages 734-738.
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