Closed-form likelihood expansions for multivariate diffusions
By: Yacine Aït-Sahalia.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series -- no. 8956; Working paper series (National Bureau of Economic Research) -- working paper no. 8956.
Publisher: National Bureau of Economic Research
Published: 2002
Place of publication: Cambridge, MA
Language: eng
Number of pages: 35
Subjects: Diffusion processes.; Time and economic reactions.; Multivariate analysis.
Notes: "May 2002."

JEL no. C32, G12.

Includes bibliographical references (p. 27-28).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.