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FISHER IS INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES
Levy process jumps rate of convergence optimal estimation
2014/3/13
The copyright to this Article is held by the Econometric Society. It may be downloaded,printed and reproduced only for educational or research purposes, including use in course packs. No downloading o...
Estimating Continuous-Time Models Using Discretely Sampled Data
Continuous-Time Models Discretely Sampled Data
2014/3/13
Estimating Continuous-Time Models Using Discretely Sampled Data.
VOLATILITY ESTIMATORS FOR DISCRETELY SAMPLED LEVY PROCESSES
Jumps efficiency inference discrete sampling
2014/3/13
This paper studies the estimation of the volatility parameter in a model where the driving process is a Brownian motion or a more general symmetric stable process that is perturbed by another Lévy pro...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.