Bias in estimating multivariate and univariate diffusions
نویسندگان
چکیده
منابع مشابه
Bias in Estimating Multivariate and Univariate Diffusions
Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time systems that includes the commonly used Euler and trapezoidal approximations as special cases and le...
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Multivariate continuous time models are now widely used in economics and nance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time systems that includes the commonly used Euler and trapezoidal approximations as special cases and lea...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2011
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2010.12.006