Dynamiques tronquees et estimation de modeles de diffusion.

We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and volatility parameter of a diffusion model.

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Year of publication:	1997
Authors:	Darolles, S. ; Gourieroux, C.
Subject:	MODELS \| ECONOMETRICS \| EVALUATION \| TIME SERIES

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Type of publication:	Book / Working Paper
Notes:	41 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671518