Closed-form likelihood expansions for multivariate diffusions

• 成果类型: Article
• 署名作者: Ait-Sahalia, Yacine
• 署名单位: Princeton University; National Bureau of Economic Research
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/009053607000000622
• 发表日期: 2008
• 页码: 906-937
• 关键词: discretely sampled diffusions; approximation approach; Contingent claims; term structure; models

摘要

This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure afforded by the diffusion model. Examples of interest in financial statistics and Monte Carlo evidence are included, along with the convergence of the expansion to the true likelihood function.