4.2.2 The case in which the transition densities are not known As mentioned before, the diffusion for the prices of stocks described in ... In contrast with other methods which use approximate likelihood ratios (Kutoyants, 1984, Yoshida, 1992), the method below uses the ... diffusion: dXt = b(Xt, 0)dt + a(Xt, 9)dWu X0 = x0 (15) Following Sorensen (1995), we assume that the functions b(Xt, 0) and a(Xt , 8) areanbsp;...

Title | : | Brazilian Review of Econometrics |

Author | : | |

Publisher | : | - 2004 |

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