Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

• Main Authors: PHILLIPS, Peter C. B., YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: Maximum likelihood; Transition density; Discrete sampling; Continuous record; Realized volatility; Bias reduction; Jackknife; Indirect inference; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/947; https://ink.library.smu.edu.sg/context/soe_research/article/1946/viewcontent/Handbook10.pdf
• Institution: Singapore Management University

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These approach...