| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8956 |
| 来源ID | Working Paper 8956 |
| Closed-Form Likelihood Expansions for Multivariate Diffusions | |
| Yacine Ait-Sahalia | |
| 发表日期 | 2002-05-23 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis. Because the transition function for most diffusion models is not known explicitly, the expansions of this paper can help make maximum-likelihood a practical estimation method for discretely sampled multivariate diffusions. Examples of interest in financial econometrics are included. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w8956 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566564 |
| 推荐引用方式 GB/T 7714 | Yacine Ait-Sahalia. Closed-Form Likelihood Expansions for Multivariate Diffusions. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8956.pdf（438KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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