Density approximations for multivariate affine jump-diffusion processes

Journal of Econometrics

Volumn 176, Issue 2, 2013, Pages 93-111

  Filipović, Damir ^a   Mayerhofer, Eberhard ^b   Schneider, Paul ^c  

^a EPFL   (Switzerland)

^b DUBLIN CITY UNIVERSITY   (Ireland)

^c UNIVERSITY OF LUGANO   (Switzerland)

Author keywords

Affine processes; Asymptotic expansion; Density approximation; Orthogonal polynomials

Indexed keywords

DOPING (ADDITIVES); EXPANSION; RISK ASSESSMENT;

AFFINE PROCESS; ASYMPTOTIC EXPANSION; DENSITY APPROXIMATIONS; JUMP-DIFFUSION PROCESS; ORTHOGONAL POLYNOMIAL; PARAMETRIC CONDITIONS; POLYNOMIAL MOMENTS; TRANSITION DENSITY;

POLYNOMIAL APPROXIMATION;

EID: 84880324380     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.12.003     Document Type: Article

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