Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation
| Contribuinte(s) |
Dungey, M Bardsley, P |
|---|---|
| Data(s) |
2006
|
| Identificador | |
| Publicador |
Australian National University |
| Relação |
http://gemini.econ.umd.edu/conference/esam06/program/esam06.html Hurn, Stan, Jeisman, Joseph, & Lindsay, Ken (2006) Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation. In Dungey, M & Bardsley, P (Eds.) Proceedings of the Australasian Meeting of the Econometric Society 2006, 4-7 July 2006, Australia, Northern Territory, Alice Springs. |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #140207 Financial Economics #140302 Econometric and Statistical Methods #140305 Time-Series Analysis #Stochastic Differential Equations, Maximum Likelihood, Finite Difference, Finite Element, Cumulative Distribution Function |
| Tipo |
Conference Paper |
