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Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10009570666

Finanzmarktökonometrie : zeitstetige Systeme und ihre Anwendung in Ökonometrie und empirischer Kapitalmarktforschung

Singer, Hermann - 1999

Persistent link: https://www.econbiz.de/10001362446

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - In: Annals of finance 9 (2013) 2, pp. 217-248

Persistent link: https://www.econbiz.de/10009741196

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas (contributor); Tente, Sebastian (contributor) - 2008

The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate … of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two …