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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| 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 |