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Market-based estimation of stochastic volatility models

Aït-Sahalia, Yacine; Amengual, Dante; Manresa, Elena - In: Journal of econometrics 187 (2015) 2, pp. 418-435

Persistent link: https://www.econbiz.de/10011499700

Maximum likelihood estimation of discretely sampled diffusions : a closed-form approximation approach

Aït-Sahalia, Yacine - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 1, pp. 223-262

Persistent link: https://www.econbiz.de/10001648106

Maximum likelihood estimation of stochastic volatility models

Aït-Sahalia, Yacine; Kimmel, Robert - 2004

Persistent link: https://www.econbiz.de/10002125925

Estimating affine multifactor term structure models using closed-form likelihood expansions

Aït-Sahalia, Yacine; Kimmel, Robert - 2002

Persistent link: https://www.econbiz.de/10001720457

Operator methods for continuous-time Markov processes

Aït-Sahalia, Yacine; Hansen, Lars Peter; Scheinkman, … - 2010

Persistent link: https://www.econbiz.de/10003900628

Estimating affine multifactor term structure models using closed-form likelihood expansions

Aït-Sahalia, Yacine; Kimmel, Robert - In: Journal of financial economics 98 (2010) 1, pp. 113-144

Persistent link: https://www.econbiz.de/10008702741

Maximum likelihood estimation of stochastic volatility models

Aït-Sahalia, Yacine; Kimmel, Robert - In: Journal of financial economics 83 (2007) 2, pp. 413-452

Persistent link: https://www.econbiz.de/10003425468

A refinement to Ai͏̈t-Sahalia's (2002) "Maximum likelihood estimation of discretely sampled diffusions : a closed-form approximation approach"

Bakshi, Gurdip S.; Ju, Nengjiu - In: The journal of business : B 78 (2005) 5, pp. 2037-2052

Persistent link: https://www.econbiz.de/10003232699

Estimating affine multifactor term structure models using closed-form likelihood expansions

Aït-Sahalia, Yacine (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003783429

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

Aït-Sahalia, Yacine - 2002

We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but...

Persistent link: https://www.econbiz.de/10012469344