Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
Author:
Affiliation:
1. Department of Statistics and Actuarial Science, Simon Fraser University , Burnaby , Canada ;
2. Département de Mathématiques, Université du Québec à Montréal , Montréal , Canada
Funder
Natural Sciences and Engineering Research Council of Canada
Simon Fraser University
NVIDIA
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Discrete Mathematics and Combinatorics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/10618600.2020.1840995
Reference47 articles.
1. An Empirical Investigation of Continuous-Time Equity Return Models
2. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
3. Empirical Performance of Alternative Option Pricing Models
4. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
5. Maximum likelihood estimation of a latent variable time-series model
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