Hurn, A.S.; Lindsay, K.A.; McClelland, A.J. - In: Journal of Econometrics 172 (2013) 1, pp. 106-126
A quasi-maximum likelihood procedure for estimating the parameters of multi-dimensional diffusions is developed in which the transitional density is a multivariate Gaussian density with first and second moments approximating the true moments of the unknown density. For affine drift and diffusion...