Maximum likelihood estimation of partially observed diffusion models

• Main Authors: KLEPPE, Tore Selland, Jun YU, SKAUG, Hans J.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Closed-form approximation; Diffusion model; Efficient importance sampler; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1797; https://ink.library.smu.edu.sg/context/soe_research/article/2796/viewcontent/P_ID_52648_Yu_JOE_2014_MaxLikelihoodEstPartiallyObservedDiffusionModels.pdf
• Institution: Singapore Management University

This paper develops a maximum likelihood (ML) method to estimate partially observed diffusion models based on data sampled at discrete times. The method combines two techniques recently proposed in the literature in two separate steps. In the first step, the closed form approach of Aït-Sahalia (2008...