Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data.

This article proposes a new approach to exploit the information in high-frequency data for the statistical inference of continuous-time affine jump diffusion (AJD) models with latent variables. For this purpose, we construct unbiased estimators of the latent variables and their power functions on th...

Descripción completa

Detalles Bibliográficos

Publicado en:	Journal of Financial Econometrics Vol. 5; no. 1; pp. 1 - 31
Autores principales:	Jiang, George J., Oomen, Roel C. A.
Formato:	Artículo
Publicado:	Oxford University Press / UK Winter 2007
Materias:	Diffusion processes Estimation theory Latent variables Moments method (Statistics)
Acceso en línea:	Ver este registro en EBSCOhost