EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities
Additional contact information
Yacine Aït-Sahalia: Department of Economics and Bendheim Center for Finance, Princeton University, Princeton, New Jersey 08540
, 2009, vol. 1, issue 1, pages 341-359
Annual Review of Financial Economics Abstract:
This article surveys recent developments to estimate and test continuous-time models in finance using discrete observations on the underlying asset price or derivative securities' prices. Both parametric and nonparametric methods are described. All these methods share a common focus on the transition density as the central object for inference and testing of the model.
Keywords: maximum-likelihood; diffusions; jumps; Markov processes (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
References: Add references at CitEc Citations Track citations by RSS feed
Downloads: (external link) http://www.annualreviews.org/doi/abs/10.1146/annurev.financial.050808.114424 (application/pdf)
Full text downloads are only available to subscribers. Visit the abstract page for more information.
Related works: This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:anr:refeco:v:1:y:2009:p:341-359
Ordering information: This journal article can be ordered from http://www.annualreviews.org/action/ecommerce
Access Statistics for this article
More articles in Annual Review of Financial Economics from Annual Reviews
Address: Annual Reviews 4139 El Camino Way Palo Alto, CA 94306, USA Series data maintained by http://www.annualreviews.org ().