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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.

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    Abstract

    Aijt-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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    ID Code: 25234
    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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