On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations *

By Aubrey Hurn, Kenneth P. Lindsay, Vance L. Martin. 2003

74 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a5a8aee9cc15e7ef7e428da312050065a7a1421b

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

1. J. Jeisman
2. Aubrey Hurn
3. Kenneth P. Lindsay
4. Edward J. Allen

In Finance

1. J. Jeisman
2. Aubrey Hurn
3. Kenneth P. Lindsay
4. Edward J. Allen
5. Thomas Lux

Citations in the corpus

• Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2006, methodology): “When no natural auxiliary model is available, for example, as occurs in the CIR process with the levels effect parameter not constrained to be 1/2, the performance deteriorates significantly (see Hurn et al., 2003).”
• Environmental variability and mean-reverting processes (2016, background): “The probability density of the stochastic differential equation (10) satisfies [12, 13]:”