Publication
Jul 2012
Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. In this paper the author expands extant work on univariate diffusions to higher dimensions. After providing evidence for the efficiency of a numerical approach, the authors illustrate its application for the estimation of a joint system of short-run and medium run investor sentiment and asset price dynamics using German stock market data.
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English (PDF, 39 pages, 1.0 MB) |
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Author | Thomas Lux |
Series | Kiel Institute Working Papers |
Issue | 1781 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2012 Kiel Institute for the World Economy |