Efficient estimation and filtering for multivariate jump–diffusions
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DOI: 10.1016/j.jeconom.2020.09.004
Abstract: Abstract This paper develops estimators of the transition density, filters, and parameters of multivariate jump–diffusion models. The drift, volatility, jump intensity, and jump magnitude are allowed to be state-dependent and non-affine. It is not necessary… read more here.
Keywords: filtering multivariate; jump; estimation filtering; efficient estimation ... See more keywords