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Results tagged with mle
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user 29100
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Good introduction to estimating stochastic diffusion processes?
So, in an advanced Econometrics course, the current topic relates to estimating transition densities and diffusion processes by MLE, such as this R package doc describes, for ex., and I have to admit to …
- 273
1
vote
1
answer
1k
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How to estimate lambda for Jump-Diffusion Process from Empirical data?
So, I have really no idea how to go about this, but how would I go about choosing sensible parameter values for a basic jump-diffusion simulation, namely $\lambda$ ?
For example, getting the avera …
- 273
1
vote
1
answer
66
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Can GARCH volatility simulations generally be applied to return-modelling models?
This may be a naive question, but I still hope some discussion can elucidate a (so far) totally nebulous point for me.
I've recently learned that GARCH models can give one simulations of volatilitie …
- 273