Maximum likelihood estimation of stock volatility using jump-diffusion models

Cogent Economics & Finance ◽

10.1080/23322039.2019.1582318 ◽

2019 ◽

Vol 7 (1) ◽

pp. 1582318

Author(s):

Nixon S. Chekenya ◽

Maggie Chen

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Diffusion Models ◽

Stock Volatility

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Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models

Contemporary Mathematics - Mathematics of Finance ◽

10.1090/conm/351/06400 ◽

2004 ◽

pp. 155-169 ◽

Author(s):

Floyd B. Hanson ◽

John J. Westman ◽

Zongwu Zhu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Diffusion Models

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Information theory for maximum likelihood estimation of diffusion models

Journal of Econometrics ◽

10.1016/j.jeconom.2015.10.002 ◽

2016 ◽

Vol 191 (1) ◽

pp. 110-128

Author(s):

Hwan-sik Choi

Keyword(s):

Information Theory ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Diffusion Models

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MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2944341 ◽

2017 ◽

Author(s):

Matthew Francis Dixon ◽

Tao L. Wu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

R Package ◽

Diffusion Models

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Maximum Likelihood Estimation of Gamma Jump-diffusion Process

DEStech Transactions on Social Science Education and Human Science ◽

10.12783/dtssehs/icssd2018/27425 ◽

2019 ◽

Author(s):

SI-JIAO ZHU ◽

WEI ZHANG

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Process ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Jump Diffusion Process

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Maximum likelihood estimation of partially observed diffusion models

Journal of Econometrics ◽

10.1016/j.jeconom.2014.02.002 ◽

2014 ◽

Vol 180 (1) ◽

pp. 73-80 ◽

Author(s):

Tore Selland Kleppe ◽

Jun Yu ◽

Hans J. Skaug

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Diffusion Models ◽

Partially Observed

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Maximum likelihood estimation of the double exponential jump-diffusion process

Annals of Finance ◽

10.1007/s10436-006-0062-y ◽

2006 ◽

Vol 3 (4) ◽

pp. 487-507 ◽

Author(s):

Cyrus A. Ramezani ◽

Yong Zeng

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Process ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Process

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Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices

SSRN Electronic Journal ◽

10.2139/ssrn.606361 ◽

1998 ◽

Author(s):

Cyrus A. Ramezani ◽

Yong Zeng

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Security Prices ◽

Jump Diffusion Processes

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Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models

Statistics and Its Interface ◽

10.4310/sii.2013.v6.n4.a10 ◽

2013 ◽

Vol 6 (4) ◽

pp. 519-532 ◽

Author(s):

Maud Delattre ◽

Marc Lavielle

Keyword(s):

Kalman Filter ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Extended Kalman Filter ◽

Likelihood Estimation ◽

Mixed Effects ◽

Diffusion Models ◽

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Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates

East Asian Economic Review ◽

10.11644/kiep.eaer.2020.24.1.372 ◽

2020 ◽

Vol 24 (1) ◽

pp. 61-87

Author(s):

Seungmoon Choi ◽

Jaebum Lee

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Exchange Rates ◽

Continuous Time ◽

Likelihood Estimation ◽

Diffusion Models

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Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.1476737 ◽

2009 ◽

Author(s):

Dennis Kristensen

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Diffusion Models ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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