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Estimation of drift and diffusion functions from time series data: A maximum likelihood framework

โœ Scribed by Kleinhans, David

Book ID
121370248
Publisher
The American Physical Society
Year
2012
Tongue
English
Weight
315 KB
Volume
85
Category
Article
ISSN
1063-651X

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## Abstract Recently, Fridman and Harris proposed a method which allows one to approximate the likelihood of the basic stochastic volatility model. They also propose to estimate the parameters of such a model maximising the approximate likelihood by an algorithm which makes use of numerical derivat