Author:
Aı¨t-Sahalia Yacine,Yu Jialin
Subject
Applied Mathematics,Economics and Econometrics
Reference26 articles.
1. Transition densities for interest rate and other nonlinear diffusions;Aı¨t-Sahalia;Journal of Finance,1999
2. Aı¨t-Sahalia, Y., 2001. Closed-form likelihood expansions for multivariate diffusions. Technical Report, Princeton University.
3. Maximum-likelihood estimation of discretely-sampled diffusions: a closed-form approximation approach;Aı¨t-Sahalia;Econometrica,2002
4. Aı¨t-Sahalia, Y., Hansen, L.P., Scheinkman, J.A., 2002. Operator methods for continuous-time Markov processes. In: Aı¨t-Sahalia, Y., Hansen, L.P. (Eds.), Handbook of Financial Econometrics. North Holland, Amsterdam, The Netherlands, forthcoming.
5. Bakshi, G.S., Yu, N., 2005. A refinement to Aı¨t-Sahalia's (2002) “Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach”. Journal of Business 78, forthcoming.
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