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A note on the estimation of a gamma-variance process : learning from a failure

Cervellera, Gian P.; Tucci, Marco Paolo - In: Computational economics 49 (2017) 3, pp. 363-385

Persistent link: https://www.econbiz.de/10011762113

Prediction of stock price movement using continuous time models

Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191

Persistent link: https://www.econbiz.de/10011398992

Maximum Likelihood estimates of regression coefficients with á-stable residuals and day of week effects in total returns on equity indices

Frain, John C. - 2008

Persistent link: https://www.econbiz.de/10003996444

Approximate Maximum Likelihood Estimates for Stock and Index Returns with Stochastic Volatility, Stochastic Jump Intensity, and Infinite-Activity Jumps

Wilson, David - 2018

The Bates (2006) Approximate Maximum Likelihood (AML) method is considered from a practical point of view. Application of the AML method is undertaken using FFT with splines for integration. Results are validated by both simulation and comparison to MCMC literature. The SVJ model is estimated...

Persistent link: https://www.econbiz.de/10012932241

Maximum Likelihood Estimator for the Uneven Power Distribution : Application to DJI Returns

Kontek, Krzysztof - 2010

This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...

Persistent link: https://www.econbiz.de/10013144110