Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 1245-1280

  Yu, Jialin ^a  

^a Columbia University ^*  (United States)

Author keywords

Chinese Yuan; Currency realignment; Discrete sampling; Jump diffusion; Maximum likelihood estimation

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC ANALYSIS; DATA STRUCTURES; FINANCE; PROBABILITY; RISK ANALYSIS;

CURRENCY REALIGNMENT; DISCRETE SAMPLING; JUMP DIFFUSION; MAXIMUM LIKELIHOOD ESTIMATOR;

ECONOMIC ANALYSIS;

EID: 34848848418     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.02.003     Document Type: Article

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