Estimating for Discretely Observed Diffusions Using Transform Functions

Leah Kelly, Eckhard Platen () and Michael Sørensen ()

No 96, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and diffusion coefficients. Consistency and asymptotic normality of the resulting estimators is investigated. Power transforms are used to estimate the parameters of affine diffusions, for which explicit estimators are obtained.

Pages: 26 pages
Date: 2003-06-01
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Citations: View citations in EconPapers (7)

Published as: Kelly, L., PLaten, E. and Sorensen, M., 2004, "Estimating for Discretely Observed Diffusions Using Transform Functions", Journal of Applied Probability, 41A, 99-18.

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