Estimation for discretely observed diffusions using transform functions

Journal of Applied Probability

Volumn 41A, Issue , 2004, Pages 99-118

  Kelly, Leah ^a   Platen, Eckhard ^a   Sørensen, Michael ^b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Affine diffusion process; Discretely observed diffusion; Estimation; Transformation function

Indexed keywords

EID: 33747742832     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1082552193     Document Type: Article

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