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Volumn 86, Issue 1, 2005, Pages 87-93

The density of bounded diffusions

Author keywords

Bounded diffusions; Density function; Maximum likelihood

Indexed keywords


EID: 10944224769     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2004.06.012     Document Type: Article
Times cited : (6)

References (9)
  • 1
    • 0242670422 scopus 로고    scopus 로고
    • Testing continuous-time models of the spot interest rate
    • Y. Aït-Sahalia Testing continuous-time models of the spot interest rate Review of Financial Studies 9 1996 385-426
    • (1996) Review of Financial Studies , vol.9 , pp. 385-426
    • Aït-Sahalia, Y.1
  • 2
    • 0036216388 scopus 로고    scopus 로고
    • Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation
    • Y. Aït-Sahalia Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation Econometrica 70 1 2002 223-262
    • (2002) Econometrica , vol.70 , Issue.1 , pp. 223-262
    • Aït-Sahalia, Y.1
  • 4
    • 10944256673 scopus 로고    scopus 로고
    • Testing for PPP: The erratic behavior of unit root tests
    • G.M. Caporale N. Pittis P. Sakellis Testing for PPP: The erratic behavior of unit root tests Economics Letters 80 2003 277-284
    • (2003) Economics Letters , vol.80 , pp. 277-284
    • Caporale, G.M.1    Pittis, N.2    Sakellis, P.3
  • 5
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • J.C. Cox J.E. Ingersoll S.A. Ross A theory of the term structure of interest rates Econometrica 53 1985 385-407
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 8
    • 0003783929 scopus 로고
    • The Special Functions and their Approximations
    • Academic Press
    • Y.L. Luke The Special Functions and their Approximations 1969 Academic Press
    • (1969)
    • Luke, Y.L.1
  • 9
    • 0000899296 scopus 로고
    • The great crash, the oil price shock, and the unit root hypothesis
    • P. Perron The great crash, the oil price shock, and the unit root hypothesis Econometrica 57 1989 1361-1402
    • (1989) Econometrica , vol.57 , pp. 1361-1402
    • Perron, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.