Bias in Estimating Multivariate and Univariate Diffusions

• المؤلفون الرئيسيون: WANG, Xiaohu, PHILLIPS, Peter C. B., YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: OLS; Continuous Time; Bias Reduction; Di¤usion; Euler approximation; Mil-stein approximation; Multivariate; Vasicek model.; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1235; https://ink.library.smu.edu.sg/context/soe_research/article/2234/viewcontent/multidiffusion13.pdf

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...