Lee, Yoon Dong; Song, Seongjoo; Lee, Eun-Kyung - In: Journal of Econometrics 178 (2014) P3, pp. 694-705
This paper is on the issue of finding a closed-form likelihood approximation of diffusion processes and rearranging the Hermite expansion in the order of the power of the observational time interval. We propose an algorithm that calculates the coefficients of the rearranged expansion that...