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Handbook of Financial Time Series || Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

✍ Scribed by Mikosch, Thomas; Kreiß, Jens-Peter; Davis, Richard A.; Andersen, Torben Gustav

Book ID
120401601
Publisher
Springer Berlin Heidelberg
Year
2009
Tongue
German
Weight
624 KB
Edition
2009
Category
Article
ISBN
3540712976

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✦ Synopsis

The Handbook Of Financial Time Series Gives An Up-to-date Overview Of The Field And Covers All Relevant Topics Both From A Statistical And An Econometrical Point Of View. There Are Many Fine Contributions, And A Preamble By Nobel Prize Winner Robert F. Engle.

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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