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ArticleEstimation for diffusion processes from discrete observation

Nakahiro Yoshida1992

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Articlebronze1992

Estimation for diffusion processes from discrete observation

Nakahiro Yoshida

263 citations·0/0 files stored·Journal of Multivariate Analysis

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Stochastic processes and financial applications Control Systems and Identification Statistical Methods and Inference

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References

1989Approximate discrete-time schemes for statistics of diffusion processes

Cited by

2006Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations 2005A Selective Overview of Nonparametric Methods in Financial Econometrics 2007Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations 2016Evaluating investments in renewable energy under policy risks 2002Propriété LAN pour les diffusions ergodiques avec observations discrètes 2002Asymptotic nonequivalence of GARCH models and diffusions 2004Nonparametric estimation of scalar diffusions based on low frequency data 2012Adaptive estimation of an ergodic diffusion process based on sampled data

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1999Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Processarticle · 1 shared reference 2006Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observationsarticle · 1 shared reference 2007Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equationsarticle · 1 shared reference 2002Propriété LAN pour les diffusions ergodiques avec observations discrètesarticle · 1 shared reference 1990Maximnm contrast estimation for diffusion processes from discrete observationsarticle · 1 shared reference 2003Likelihood-based specification analysis of continuous-time models of the short-term interest ratearticle · 1 shared reference

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Year1992

Typearticle

Published1992-05-01

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations263

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0047-259x(92)90068-q

openalex_workW2008199532

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