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...
| Publicado en: | Journal of Econometrics Vol. 141; no. 2; pp. 1245 - 1281 |
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| Formato: | Artículo |
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Elsevier Science
December 2007
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| Acceso en línea: | Ver este registro en EBSCOhost |