Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation
Hurn, Stan, Jeisman, Joseph, & Lindsay, Ken (2006) Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation. In Dungey, M & Bardsley, P (Eds.) Proceedings of the Australasian Meeting of the Econometric Society 2006, 4-7 July 2006, Australia, Northern Territory, Alice Springs.
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| ID Code: | 25198 |
|---|---|
| Item Type: | Conference Paper |
| Keywords: | Stochastic Differential Equations, Maximum Likelihood, Finite Difference, Finite Element, Cumulative Distribution Function |
| Subjects: | Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207) Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302) Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305) |
| Divisions: | Current > QUT Faculties and Divisions > QUT Business School Current > Schools > School of Economics & Finance |
| Deposited On: | 18 Jun 2009 01:00 |
| Last Modified: | 29 Feb 2012 23:21 |
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