Estimating for Discretely Observed Diffusions Using Transform Functions

This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and diffusion coefficients. Consistency and asymptotic normality of the resulting estimators is investigated. Power transforms are used to estimate the parameters of affine diffusions, for which explicit estimators are obtained.

MoreLess

Year of publication:	2003-06-01
Authors:	Kelly, Leah ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 96
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984462