Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions
By A. V. Egorov, Haitao Li, Yuewu Xu. 2003
86 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6141ad9f676d2781a2828550d61527e65758e42c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Osnat Stramer
- Ia Matthew Bognar
- Yacine Aït-Sahalia
- V. Todorov
- D. Xiu
- Jean Jacod
- Mark Podolskij
- Per Aslak Mykland
In Finance
- Osnat Stramer
- Ia Matthew Bognar
- Yacine Aït-Sahalia
- Chenxu Li
- V. Todorov
- Jean Jacod
- D. Xiu
- Omiros Papaspiliopoulos
Citations in the corpus
- Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach (2011, methodology): “Keywords: Diffusion process, Euler discretization, Markov chain Monte Carlo (MCMC), Pseudo-Marginal (PM) Algorithm, Grouped Independence MetropolisHastings (GIMH), Monte Carlo within Metropolis (MCWM)”
- Closed-Form Likelihood Expansions for Multivariate Diffusions (2002, methodology): “The univariate results of Aït-Sahalia [2] have been extended to cover such models by Egorov, Li and Xu [13].”
- Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2005, unknown): “If h¼ sn 15, where s2¼ var(Zt), for example, then about 23, 20, and 10% of a U [0, 1] sample will fall into 7 Egorov, Li, and Xu (2003) extend Ait-Sahalia’s (2002a) Hermite expansion approach to obtain accurate closed-form approximation for the transition density of time-inhomogeneous diffusion…”
- Estimating affine multifactor term structure models using closed-form likelihood expansions (2010, unknown): “3 Gouriéroux and Sufana (2004) identify some affine diffusions that do not fit into the classification scheme of Dai and Singleton (2000).”
- Simulation-Based Estimation of Contingent-Claims Prices (2009, unknown): “For example, Ait-Sahalia (1999) and Egorov, Li, and Xu (2003) estimated short-term interest rate models.”
- Saddlepoint Approximations for Continuous-Time Markov Processes ∗ (2006, unknown): “The method has been extended to time inhomogeneous processes by Egorov et al. (2003) and to jump-diffusions by Schaumburg (2001) and Yu (2003).”
- Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “Expansions for timeinhomogeneous diffusions can be similarly derived using leading terms provided by Egorov et al. (2003), hence are omitted here.”