Bias in Estimating Multivariate and Univariate Diffusions
Year of publication: |
2011-01
|
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Authors: | Wang, Xiaohu ; Phillips, Peter C.B. ; Yu, Jun |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Bias | Diffusion | Euler approximation | Trapezoidal approximation | Milstein approximation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Journal of Econometrics (2011), 161(2): 228-245 The price is None Number 1778 37 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G12 - Asset Pricing |
Source: |
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