A new delta expansion for multivariate diffusions via the Itô-Taylor expansion-Reference-Cited by-同舟云学术

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A new delta expansion for multivariate diffusions via the Itô-Taylor expansion

Published:2019-04 Issue:2 Volume:209 Page:256-288
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Yang Nian,Chen Nan,Wan Xiangwei

Funder

National Natural Science Foundation of China

Hong Kong Research Grant Council

Center for Financial Engineering, The Chinese University of Hong Kong

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference44 articles.

1. Testing continuous-time models of the spot interest rate;Aït-Sahalia;Rev. Financ. Stud.,1996

2. Transition densities for interest rate and other nonlinear diffusions;Aït-Sahalia;J. Finance,1999

3. Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach;Aït-Sahalia;Econometrica,2002

4. Closed-form likelihood expansions for multivariate diffusions;Aït-Sahalia;Ann. Statist.,2008

5. The effects of random and discrete sampling when estimating continuous-time diffusions;Aït-Sahalia;Econometrica,2003

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