Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes
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- 1 July 2002
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 20 (3) , 297-338
- https://doi.org/10.1198/073500102288618397
Abstract
Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways t...Keywords
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