Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐form Approximation Approach

By Yacine Aït-Sahalia. 2002

983 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7ddce22ed69835bada54264fba2c1d9de2ebd278

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Citations in the corpus

Estimating affine multifactor term structure models using closed-form likelihood expansions (2010, positive): “…for the log-likelihood function (or equivalent the density) due to Aït-Sahalia (2001), which generalizes to arbitrary multivariate processes the univariate results developed in Aït-Sahalia (2002) (see also Aït-Sahalia (1999) for examples of application of the univariate method in finance).”
Applied Stochastic Differential Equations (2019, positive): “This idea is presented by Aït-Sahalia (2002, 2008) and can also be found, for example, in Rao (1999) and Iacus (2008). Consider the following SDE: dx D f .”
CHAPTER 4 – Estimating Functions for Discretely Sampled Diffusion-Type Models (2010, methodology): “…simulation, Poulsen (1999) obtained an approximation to the transition density by numerically solving a partial differential equation, while A¨ıt-Sahalia (2002) and A¨ıt-Sahalia (2003) proposed to approximate the transition density by means of a Hermite expansion, see also A¨ıt-Sahalia,…”
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (2011, positive): “Florens-Zmirou (1989, Lemma 1) and Aït-Sahalia (2002) develop similar error bounds for approximations of conditional moments of diffusion processes in different contexts.”
Simulation-Based Estimation of Contingent-Claims Prices (2009, neutral): “It has often been argued that when the model for the underlying asset is correctly specified the preferred basis for estimation and inference should be maximum likelihood (ML) — see, for example, Ball and Torous (1984), Lo (1986) and Aït-Sahalia (2002).”
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005, neutral): “One strand of the literature has argued that estimation methods should be robust to the potential issues arising in the presence of high frequency data and, consequently, be asymptotically valid without requiring that the sampling interval A separating successive observations tend to zero (see, e.g.”