Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions -- Online Supplementary Material
27 Pages Posted: 11 Jul 2016
Date Written: July 9, 2016
This supplementary material for Estimating Jump-Diffusions Using Closed-form Likelihood Expansions contains (1) closed-form expansion formulas for the examples (Section 1), (2) proofs of the results in the appendices (Section 2), (3) expectation (D.4) under correlated normal distribution of jump size (Section 3), (4) expectation (D.4) under the jump-size distribution of the CEV-SVCJ model (Section 4), (5) validity of the density expansion (Section 5), (6) approximate maximum-likelihood estimation via the density expansion (Section 6).
Keywords: maximum-likelihood estimation, jump-diffusion, discrete observations, transition density, expansion
JEL Classification: C13, C22, C32, G12
Suggested Citation: Suggested Citation