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Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions

Choi, Seungmoon - 2010

Persistent link: https://www.econbiz.de/10003989053

Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions

Choi, Seungmoon - In: Journal of econometrics 174 (2013) 2, pp. 45-65

Persistent link: https://www.econbiz.de/10009751254

Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions

Choi, Seungmoon - 2011

Persistent link: https://www.econbiz.de/10009412142

Explicit form of approximate transition probability density functions of diffusion processes

Choi, Seungmoon - In: Journal of econometrics 187 (2015) 1, pp. 57-73

Persistent link: https://www.econbiz.de/10011498739

Comparison of the Korean and US stock markets using continuous-time stochastic volatility models

Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011954453

Maximum likelihood estimation of continuous-time diffusion models for exchange rates

Choi, Seungmoon; Lee, Jaebum - In: East Asian economic review 24 (2020) 1, pp. 61-87

Persistent link: https://www.econbiz.de/10012225756

Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates

Choi, Seungmoon - 2020

Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are...

Persistent link: https://www.econbiz.de/10012836819