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Estimation for diffusion processes from discrete observation
1 references·16 citing·44 second hop
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References

  • 1989Approximate discrete-time schemes for statistics of diffusion processes263 cited

Cited by

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  • 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited
  • 2007Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations125 cited
  • 2016Evaluating investments in renewable energy under policy risks122 cited
  • 2002Propriété LAN pour les diffusions ergodiques avec observations discrètes119 cited
  • 2002Asymptotic nonequivalence of GARCH models and diffusions104 cited
  • 2004Nonparametric estimation of scalar diffusions based on low frequency data102 cited
  • 2012Adaptive estimation of an ergodic diffusion process based on sampled data93 cited
  • 2012Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package76 cited
  • 2013Maximum-likelihood estimation for diffusion processes via closed-form density expansions75 cited
  • 2003Small-diffusion asymptotics for discretely sampled stochastic differential equations74 cited
  • 2008Estimation for stochastic differential equations with a small diffusion coefficient59 cited
  • 2014Hybrid multi-step estimators for stochastic differential equations based on sampled data

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57 cited
  • 2015ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING56 cited
  • 2013Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions55 cited
  • 2010Nonsynchronous covariation process and limit theorems53 cited