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Prediction-based estimation for diffusion models with high-frequency data

Prediction-based estimation for diffusion models with high-frequency data

Emil S. Jørgensen
Michael Sørensen
ArXiv (abs)PDFHTML

Papers citing "Prediction-based estimation for diffusion models with high-frequency data"

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Title
Efficient estimation for ergodic diffusion processes sampled at high frequency
Efficient estimation for ergodic diffusion processes sampled at high frequency
Michael Sorensen
37
1
0
09 Jan 2024