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 2011
Subjects:
Bias
Diffusion
Euler approximation
Trapezoidal approximation
Milstein approximation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1311
https://ink.library.smu.edu.sg/context/soe_research/article/2310/viewcontent/multidiffusion13.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1311
https://ink.library.smu.edu.sg/context/soe_research/article/2310/viewcontent/multidiffusion13.pdf

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