Closed-form likelihood expansions for multivariate diffusions

Keyphrases

• Multivariate Diffusion 100%
• Likelihood Function 50%
• Monte Carlo 50%
• Discrete-time 50%
• Diffusion Model 50%
• Log-likelihood Ratio 50%
• Closed-form Expansion 50%
• Financial Statistics 50%

Mathematics

• Closed Form 100%
• Statistics 50%
• Discrete Time 50%
• Monte Carlo 50%
• time interval τ 50%
• Likelihood Function 50%
• Diffusion Model 50%
• Log Likelihood Function 50%

Economics, Econometrics and Finance

• Monetary Statistics 100%