Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan.

This paper provides closed-form likelihood approximations for multivariate jump-diffusion processes widely used in finance. For a fixed order of approximation, the maximum-likelihood estimator (MLE) computed from this approximate likelihood achieves the asymptotic efficiency of the true yet uncomput...

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Bibliographic Details

Published in:	Journal of Econometrics Vol. 141; no. 2; pp. 1245 - 1281
Main Author:	Yu, Jialin
Format:	Article
Published:	Elsevier Science December 2007
Subjects:	Maximum likelihood statistics Money Diffusion processes China
Online Access:	View this record in EBSCOhost