Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul - In: Journal of Econometrics 176 (2013) 2, pp. 93-111
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions...