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Closed-form likelihood expansions for multivariate diffusions
Yacine Aït-Sahalia
Economics
Bendheim Center for Finance
Center for Statistics & Machine Learning
Research output
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Article
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peer-review
229
Scopus citations
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Dive into the research topics of 'Closed-form likelihood expansions for multivariate diffusions'. Together they form a unique fingerprint.
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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%