The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data
Abstract
This paper considers the parametric estimation problem for continuous-time stochastic processes described by first-order nonlinear stochastic differential equations of the generalized Itô type (containing both jump and diffusion components). We derive a particular functional partial differential equation which characterizes the exact likelihood function of a discretely sampled Itô process. In addition, we show by a simple counterexample that the common approach of estimating parameters of an Itô process by applying maximum likelihood to a discretization of the stochastic differential equation does not yield consistent estimators.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
The Theory of Stochastic Processes
Cox, D. R., Miller, H. D., Weiss, G., & Shuler, K. (1966) · Physics Today · doi:10.1063/1.3047872 · Cited by 3,324
Cited by
Analysis of Financial Time Series
(2006) · Technometrics · doi:10.1198/tech.2006.s405 · Cited by 2,348
ARCH models as diffusion approximations
Nelson, D. B. (1990) · Journal of Econometrics · doi:10.1016/0304-4076(90)90092-8 · Cited by 938
Metadata
- Authors
- Lo, A. W.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1988-08
- Volume
- 4
- Issue
- 2
- Pages
- 231-247
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W3123132134
- Cited by
- 354
- References
- 2
- FWCI
- 1.95
- Type
- journal article
- Language
- en
- Open access
- closed
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- Lo, A. W. (1988). Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data. Econometric Theory. https://doi.org/10.1017/s0266466600012044
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