Department

Economics, Finance and Quantitative Analysis

Document Type

Article

Publication Date

7-2011

Abstract

This paper introduces a quasi-maximum likelihood estimator for discretely observed diffusions when a closed-form transition density is unavailable. Higher-order Wagner-Platen strong approximation is used to derive the first two conditional moments and a normal density function is used in estimation. Simulation study shows that the proposed estimator has high numerical precision and good numerical robustness. This method is applicable to a large class of diffusions.

Journal

The Econometrics Journal

Journal ISSN

1368-4221

Volume

14

Issue

2

First Page

241

Last Page

256

Included in

Econometrics Commons

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