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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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