Truncated dynamics and estimation of diffusion equations.

We study inference on continuous-time processes from discrete data with a given time interval between consecutive observations, and propose a modification of the sieve estimation method based on the infinitesimal generator. Our approach consists on truncating the initial process to improve the estim...

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Bibliographic Details

Published in:	Journal of Econometrics Vol. 102; no. 1; pp. 1 - 23
Main Authors:	Darolles, Serge, Gouriéroux, Christian
Format:	Article
Published:	Elsevier Science May 2001
Subjects:	Estimation theory Probability theory Rate of return on stocks Diffusion processes
Online Access:	View this record in EBSCOhost