Maximum likelihood and Gaussian estimation of continuous time models in finance
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1220 https://ink.library.smu.edu.sg/context/soe_research/article/2219/viewcontent/Handbook_FinTimeSeries.pdf |
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| Institution: | Singapore Management University |
| Language: | English |