Maximum Likelihood Estimation of Latent Affine Processes
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/19/3/909/5391930/hhj022.pdf
Reference68 articles.
1. Aït-Sahalia, Y. , 2002, “Closed-Form Likelihood Expansions for Multivariate Diffusions,” Working Paper 8956, National Bureau of Economic Research, May.
2. Range-Based Estimation of Stochastic Volatility Models
3. An Empirical Investigation of Continuous-Time Equity Return Models
4. The distribution of realized stock return volatility
5. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
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