Estimation of Continuous-Time Processes via the Empirical Characteristic Function
- 1 April 2002
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 20 (2) , 198-212
- https://doi.org/10.1198/073500102317351958
Abstract
This article examines the class of continuous-time stochastic processes commonly known as affine diffusions (AD's) and affine jump diffusions (AJD's). By deriving the joint characteristic function,...Keywords
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