MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood

Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: MRJD_MLE returns maximum likelihood estimates of the parameters of a MRJD process: dX = (alpha - beta*X)*dt + sigma*dB + N(mu,gamma)*dN(lambda). MRJD_MLE uses the method of Ball and Torous (1983) and assumes that the arrival rate for two jumps within one period (dt) is negligible. Then the Poisson process with intensity lambda is well approximated by a simple binary probability q = lambda*dt of a jump (and (1-q) for no jump).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.2)
Keywords: Mean-Reverting Jump-Diffusion; Parameter estimation; Maximum likelihood (search for similar items in EconPapers)
Date: 2010-10-19
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mrjd_mle.m program file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:m429008

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().