Telling from discrete data whether the underlying continuous-time model is a diffusion

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Telling from discrete data whether the underlying continuous-time model is a diffusion

Sahalia, Yacine Ait - ;

Can disrretely sampled financial data help us decide which continuous-time models are sensible ? diffusion processes are characterized by the continuity of their sample paths. This cannot be verified from the discrete sample path : even if the underlying path were continuous, data sampled at discrete times will always appear as a succession of jumps. Instead, i rely on the transition density to determine whether the discontinuities observed are the result of the discreteness of sampling, or rather evidence of genuine jump dynamics for the underlying continuous-time process..Printed Journal

Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	The American Finance Association.,
Edisi	-
Subjek	-
ISBN/ISSN	00221082
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data