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Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient
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Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient (2015)Estimation of population parameters in st…Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects (2012)Maximum Likelihood Estimation…Parameter Estimation for Discretely Observed Stochastic Volatility Models (1999)Parameter Estimation for Disc…On the estimation of the diffusion coefficient for multi-dimensional diffusion processes (1993)On the estimation of the diff…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Semiparametric estimation of Value at Risk (2003)Parameter Estimation for a Discretely Observed Integrated Diffusion Process (2006)Brownian Motion and Stochastic Calculus (1998)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Nonparametric estimation for stochastic differential equations with random effects (2013)Bidimensional random effect estimation in mixed stochastic differential model (2015)Nonparametric drift estimation for i.i.d. paths of stochastic differential equations (2020)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Efficient estimation of conditional variance functions in stochastic regression (1998)Understanding the Fine Structure of Electricity Prices* (2006)
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References

  • 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes226 cited
  • 1999Parameter Estimation for Discretely Observed Stochastic Volatility Models71 cited
  • 2012Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects59 cited

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