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https://hdl.handle.net/10419/60335
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Lux, Thomas | en |
dc.date.accessioned | 2012-08-03 | - |
dc.date.accessioned | 2012-08-10T16:54:40Z | - |
dc.date.available | 2012-08-10T16:54:40Z | - |
dc.date.issued | 2012 | - |
dc.identifier.uri | http://hdl.handle.net/10419/60335 | - |
dc.description.abstract | Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or forward Kol- mogorov equation. Here we expand extant work on univariate diffusions to higher dimensions. We find that in the bivariate and trivariate cases, a numerical solution of the FP equation via alternating direction finite difference schemes yields results surprisingly close to exact maximum likelihood in a number of test cases. After providing evidence for the effciency of such a numerical approach, we 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aKiel Institute for the World Economy (IfW) |cKiel | en |
dc.relation.ispartofseries | |aKiel Working Paper |x1781 | en |
dc.subject.jel | C58 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | C13 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | stochastic differential equations | en |
dc.subject.keyword | numerical maximum likelihood | en |
dc.subject.keyword | Fokker-Planck equation | en |
dc.subject.keyword | finite difference schemes | en |
dc.subject.keyword | asset pricing | en |
dc.subject.stw | Maximum-Likelihood-Methode | en |
dc.subject.stw | Analysis | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Theorie | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Anlageverhalten | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Deutschland | en |
dc.title | Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 720581907 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:ifwkwp:1781 | en |
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