Hurn, A.S., Jeisman, J.I. and Lindsay, K.A. (2007) Seeing the wood for the trees: a critical evaluation of methods to estimate the parameters of stochastic differential equations. Journal of Financial Econometrics, 5(3), pp. 390-455. (doi: 10.1093/jjfinec/nbm009)
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Publisher's URL: http://dx.doi.org/10.1093/jjfinec/nbm009
Abstract
Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a large number of competing estimation procedures have been proposed. This article provides a critical evaluation of the various estimation techniques. Special attention is given to the ease of implementation and comparative performance of the procedures when estimating the parameters of the Cox–Ingersoll–Ross and Ornstein–Uhlenbeck equations respectively.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Lindsay, Professor Kenneth |
| Authors: | Hurn, A.S., Jeisman, J.I., and Lindsay, K.A. |
| Subjects: | Q Science > QA Mathematics |
| College/School: | College of Science and Engineering > School of Mathematics and Statistics > Mathematics |
| Journal Name: | Journal of Financial Econometrics |
| ISSN: | 1479-8409 |
| ISSN (Online): | 1479-8417 |
| Published Online: | 07 June 2007 |
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