We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias … reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find … that an alternative estimation based on NOWMAN (1997) does not sufficiently solve the problem of time aggregation. We …

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed … for the estimation of a joint system of short-run and medium run investor sentiment and asset price dynamics using German …