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On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations

Hurn, Stanley, Lindsay, Kenneth A. , & Vance, Martin (2003) On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations. Journal of Time Series Analysis, 24(1), pp. 45-63.

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Abstract

A method for estimating the parameters of stochastic differential equations (SDEs) by simulated maximum likelihood is presented. This method is feasible whenever the underlying SDE is a Markov process. Estimates are compared to those generated by indirect inference, discrete and exact maximum likelihood. The technique is illustrated with reference to a one-factor model of the term structure of interest rates using 3-month US Treasury Bill data.

Impact and interest:

17 citations in Scopus
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12 citations in Web of Science®

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ID Code: 8370
Item Type: Journal Article
Additional Information: For more information, please refer to the journal’s website (see hypertext link) or contact the author. Author contact details: s.hurn@qut.edu.au
Keywords: Maximum likelihood, simulation, indirect inference, kernel, density estimation, term, structure models, C51, C52, G12
DOI: 10.1111/1467-9892.00292
ISSN: 1467-9892
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2003 Blackwell Publishing
Copyright Statement: The definitive version is available at www.blackwell-synergy.com
Deposited On: 02 Jul 2007
Last Modified: 23 Sep 2013 16:35

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