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

SSRN Electronic Journal ◽

10.2139/ssrn.3577328 ◽

2020 ◽

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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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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Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

Electronic Journal of Statistics ◽

10.1214/19-ejs1636 ◽

2019 ◽

Vol 13 (2) ◽

pp. 5151-5212 ◽

Author(s):

Vicky Fasen-Hartmann ◽

Markus Scholz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Continuous Time ◽

Likelihood Estimation ◽

State Space Models ◽

Low Frequencies ◽

Quasi Maximum Likelihood ◽

Linear State ◽

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On Maximum Likelihood Estimation of Continuous-Time Oscillators Modelled as Continuous-Time Autoregressive System

IEEE Latin America Transactions ◽

10.1109/tla.2019.8931211 ◽

2019 ◽

Vol 17 (07) ◽

pp. 1214-1219

Author(s):

Maria Coronel ◽

Karen Gonzalez ◽

Pedro Escarate ◽

Rodrigo Carvajal ◽

Juan Carlos Aguero

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation

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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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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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Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

Journal of Time Series Analysis ◽

10.1111/jtsa.12499 ◽

2019 ◽

Vol 41 (2) ◽

pp. 357-364

Author(s):

Emma M. Iglesias ◽

Garry D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

Continuous Time Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Maximum Likelihood Estimation of LTI Continuous-Time Grey-box Models

IFAC Proceedings Volumes ◽

10.3182/20140824-6-za-1003.02269 ◽

2014 ◽

Vol 47 (3) ◽

pp. 3739-3744 ◽

Author(s):

Jiří Řehoř ◽

Vladimír Havlena

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

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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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Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2005.00422.x ◽

2005 ◽

Vol 26 (5) ◽

pp. 691-713 ◽

Author(s):

Henghsiu Tsai ◽

K. S. Chan

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Long Memory ◽

Likelihood Estimation ◽

Memory Processes ◽

Long Memory Processes ◽

Quasi Maximum Likelihood

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