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Likelihood Inference for Diffusions: A Survey

Speaker: Yacine Ait-Sahalia, Princeton University Bendheim Centre for Finance, USA

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Abstract: This presentation reviews closed form expansions for discretely sampled diffusions and their use for likelihood inference and testing . The method is applicable to a large class of models, covering both univariate and multivariate processes, and with a state vector that is either fully or partially observed. Examples are included.


11 July 2006
City - Haymarket CB05D Level 3, Room 3.01
Conference Delegates

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