Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations
Hurn, Stan, Jeisman, Joseph, & Lindsay, Ken (2006) Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations. In Dungey, M & Bardsley, P (Eds.) Econometric Society, ESAM06, 4 - 7 July 2006, Australia, Northern Territory, Alice Springs.
AÄ³t-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion
processes by means of Hermite expansions with coe±cients determined by means of Taylor series.
This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of
moments. One advantage of this procedure is that it can be used e®ectively when the mathematical
operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.
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|Item Type:||Conference Paper|
|Keywords:||Parameter Estimation, Fokker-planck Equation, Finite Elements|
|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 01:03|
|Last Modified:||01 Mar 2012 11:42|
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