Abstract
We review some of the econometric and statistical methods available to estimate and test continuous-time diffusion models from discrete observations, with a particular emphasis on likelihood methods.
| Original language | English (US) |
|---|---|
| Title of host publication | Encyclopedia of Quantitative Finance |
| Publisher | wiley |
| Pages | 1-6 |
| Number of pages | 6 |
| ISBN (Electronic) | 9780470061602 |
| ISBN (Print) | 9780470057568 |
| DOIs | |
| State | Published - Jan 1 2010 |
All Science Journal Classification (ASJC) codes
- General Economics, Econometrics and Finance
- General Business, Management and Accounting
Keywords
- closed-form expansion
- efficient estimation
- maximum likelihood
- transition density