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Maximum-likelihood estimation for diffusion processes via closed-form density expansions
16 references·3 citing·35 second hop
Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013)Maximum-likelihood estimation for diffusi…Closed-form likelihood expansions for multivariate diffusions (2008)Closed-form likelihood expans…Maximum likelihood estimation of stochastic volatility models (2006)Maximum likelihood estimation…Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Simulated likelihood estimati…Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002)Numerical Techniques for Maxi…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Closed-Form Likelihood Expansions for Multivariate Diffusions (2002)Closed-Form Likelihood Expans…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Transition Densities for Inte…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Estimation of an Ergodic Diffusion from Discrete Observations (1997)Estimation of an Ergodic Diff…Martingale Estimation Functions for Discretely Observed Diffusion Processes (1995)Martingale Estimation Functio…A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations (1993)A New Approach to Maximum Lik…Estimation for diffusion processes from discrete observation (1992)Estimation for diffusion proc…Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Maximum Likelihood Estimation…Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)Analysis of Wiener Functional…Large Deviations and the Malliavin Calculus (1984)Large Deviations and the Mall…Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price (2016)Between data cleaning and inf…Explicit form of approximate transition probability density functions of diffusion processes (2015)Explicit form of approximate …Hermite polynomial based expansion of European option prices (2014)Hermite polynomial based expa…A Theory of the Term Structure of Interest Rates (1985)Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Maximum Likelihood Estimation of Latent Affine Processes (2006)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)The surprise element: jumps in interest rates (2002)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Estimation of Dynamic Term Structure Models (2012)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)Time Series Regression with a Unit Root (1987)Estimating stochastic volatility diffusion using conditional moments of integrated volatility (2002)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Densities for rough differential equations under Hörmander’s condition (2010)Derivative formulas and gradient estimates for SDEs driven by α -stable processes (2012)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process (1999)Stochastic Volatility Models as Hidden Markov Models and Statistical Applications (2000)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Modeling financial contagion using mutually exciting jump processes (2015)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006)Inference for Continuous Semimartingales Observed at High Frequency (2009)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
  • 1984Large Deviations and the Malliavin Calculus405 cited
  • 2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes381 cited
  • 1997Estimation of an Ergodic Diffusion from Discrete Observations370 cited
  • 1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data355 cited
  • 1995Martingale Estimation Functions for Discretely Observed Diffusion Processes348 cited
  • 1999Transition Densities for Interest Rate and Other Nonlinear Diffusions347 cited
  • 2008Closed-form likelihood expansions for multivariate diffusions293 cited
  • 2002Closed-Form Likelihood Expansions for Multivariate Diffusions285 cited
  • 2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets275 cited
  • 1993A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations269 cited

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  • 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels264 cited
  • 1992Estimation for diffusion processes from discrete observation263 cited
  • Cited by

    • 2014Hermite polynomial based expansion of European option prices62 cited
    • 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price30 cited
    • 2015Explicit form of approximate transition probability density functions of diffusion processes28 cited