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Quadratic variation estimators for d...

Miao, Wei-Cheng.

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Quadratic variation estimators for diffusion models in finance.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Quadratic variation estimators for diffusion models in finance./
Author:	Miao, Wei-Cheng.
Description:	76 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-07, Section: B, page: 3527.
Contained By:	Dissertation Abstracts International65-07B.
Subject:	Statistics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3140520
ISBN:	0496876616

Quadratic variation estimators for diffusion models in finance.
Miao, Wei-Cheng.

Quadratic variation estimators for diffusion models in finance. - 76 p.

Source: Dissertation Abstracts International, Volume: 65-07, Section: B, page: 3527.

Thesis (Ph.D.)--University of Southern California, 2004.

The use of diffusion models has been widespread in finance and economics for the last thirty years. The parameter estimation for such models hence becomes a crucial issue. It is not easy to develop an estimation method that is both accurate and computationally efficient because of the mathematical nature of the diffusion model. Numerical stability problems keep maximum likelihood estimation from becoming an efficient choice for multivariate diffusion models with lots of parameters.

ISBN: 0496876616Subjects--Topical Terms:

517247
Statistics.

Quadratic variation estimators for diffusion models in finance.
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100 1 $a Miao, Wei-Cheng. $3 1929465
245 1 0 $a Quadratic variation estimators for diffusion models in finance.
300 $a 76 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-07, Section: B, page: 3527.
500 $a Adviser: Jaksa Cvitanic.
502 $a Thesis (Ph.D.)--University of Southern California, 2004.
520 $a The use of diffusion models has been widespread in finance and economics for the last thirty years. The parameter estimation for such models hence becomes a crucial issue. It is not easy to develop an estimation method that is both accurate and computationally efficient because of the mathematical nature of the diffusion model. Numerical stability problems keep maximum likelihood estimation from becoming an efficient choice for multivariate diffusion models with lots of parameters.
520 $a By contrast, we develop new estimators---Quadratic Variation Estimator (QVE) for diffusion models. Numerical experiments and consistency proofs reveal the accuracy of the estimators for many diffusion models of interest in finance. Moreover, it is computationally efficient. The same method can be applied to a wider class of univariate diffusion models and many multivariate diffusion models, in particular, multi-asset model and stochastic volatility models. Asymptotic normality for one important estimator is considered.
590 $a School code: 0208.
650 4 $a Statistics. $3 517247
650 4 $a Economics, Finance. $3 626650
690 $a 0463
690 $a 0508
710 2 0 $a University of Southern California. $3 700129
773 0 $t Dissertation Abstracts International $g 65-07B.
790 1 0 $a Cvitanic, Jaksa, $e advisor
790 $a 0208
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3140520