Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations

Journal of Financial Econometrics

Volumn 5, Issue 3, 2007, Pages 390-455

  Hurn, A S ^a   Jeisman, J I ^a   Lindsay, K A ^b  

^a QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

^b UNIVERSITY OF GLASGOW   (United Kingdom)

Author keywords

Maximum likelihood; Moments; Parameter estimation; Simulation; Stochastic differential equations

Indexed keywords

EID: 34447637158     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbm009     Document Type: Article

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