Maximum-likelihood estimation for diffusion processes via closed-form density expansions

13 August 2013

Papers citing "Maximum-likelihood estimation for diffusion processes via closed-form density expansions"

4 / 4 papers shown

Title
On the approximate maximum likelihood estimation for diffusion processes Jinyuan Chang Songxi Chen 50 39 0 09 Mar 2012
Density Approximations for Multivariate Affine Jump-Diffusion Processes Damir Filipović E. Mayerhofer P. Schneider 66 129 0 28 Apr 2011
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes A. Beskos O. Papaspiliopoulos Gareth O. Roberts 154 85 0 02 Mar 2009
Closed-form likelihood expansions for multivariate diffusions Yacine Ait-Sahalia 71 495 0 04 Apr 2008