Bias in Estimating Multivariate and Univariate Diffusions

Bias in Estimating Multivariate and Univariate Diffusions

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time sys...

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Bibliographic Details
Main Authors: WANG, Xiaohu, PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
OLS
Continuous Time
Bias Reduction
Di¤usion
Euler approximation
Mil-stein approximation
Multivariate
Vasicek model.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1235
https://ink.library.smu.edu.sg/context/soe_research/article/2234/viewcontent/multidiffusion13.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1235
https://ink.library.smu.edu.sg/context/soe_research/article/2234/viewcontent/multidiffusion13.pdf

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