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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
◽
Cited By ~ 12
Author(s):
Floyd B. Hanson
◽
John J. Westman
◽
Zongwu Zhu
Keyword(s):
Maximum Likelihood
◽
Maximum Likelihood Estimation
◽
Likelihood Estimation
◽
Jump Diffusion
◽
Diffusion Models
Download Full-text
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References
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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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
◽
Cited By ~ 3
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
◽
Cited By ~ 72
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
◽
Cited By ~ 23
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
◽
Cited By ~ 12
Author(s):
Maud Delattre
◽
Marc Lavielle
Keyword(s):
Kalman Filter
◽
Maximum Likelihood
◽
Maximum Likelihood Estimation
◽
Extended Kalman Filter
◽
Likelihood Estimation
◽
Mixed Effects
◽
Diffusion Models
◽
Saem Algorithm
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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
◽
Cited By ~ 2
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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