Maximum likelihood estimation of the double exponential jump-diffusion process
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/content/pdf/10.1007/s10436-006-0062-y.pdf
Reference43 articles.
1. Aït-Sahalia Y. (2002) Maximum-likelihood estimation of discretely-sampled diffusions: a closed-form approximation approach. Econometrica 70, 223–262
2. Aït-Sahalia Y. (2004) Disentangling diffusion from jumps. J Financ Econ 74, 487–528
3. Aït-Sahalia Y., Hansen L.P. (2004) Handbook of Financial Econometrics. Amsterdam, North-Holland
4. Andersen L., Andreasen J. (2000) Jump-diffusion processes: Volatility smile fitting and numerical methods for pricing. Rev Derivative Res 4, 231–262
5. Andersen T.G., Benzoni L., Lund J. (2000) An empirical investigation of continuous-time equity return models. J Finance 57, 1239–1284
Cited by 80 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models;Mathematics and Computers in Simulation;2024-05
2. Investment timing and length choice for a rail transit line under demand uncertainty;Transportation Research Part B: Methodological;2023-09
3. Dynamic Margining Long/Short Equity Trading Strategies;SSRN Electronic Journal;2023
4. A COMPLEMENTAL ANALYSIS OF WAVE IRREGULARITY EFFECT ON THE HYDRODYNAMIC RESPONSES OF OFFSHORE WIND TURBINES WITH THE SEMI-SUBMERSIBLE PLATFORM;Applied Ocean Research;2021-08
5. An empirical assessment of symmetric and asymmetric jump-diffusion models for the Nigerian stock market indices;Scientific African;2021-07
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3