Standard Article

Econometrics of Diffusion Models

  1. Yacine Aït-Sahalia

Published Online: 15 MAY 2010

DOI: 10.1002/9780470061602.eqf19016

Encyclopedia of Quantitative Finance

Encyclopedia of Quantitative Finance

How to Cite

Aït-Sahalia, Y. 2010. Econometrics of Diffusion Models. Encyclopedia of Quantitative Finance. .

Author Information

  1. Princeton University and NBER, Princeton, NJ, USA

Publication History

  1. Published Online: 15 MAY 2010

Abstract

We review some of the econometric and statistical methods available to estimate and test continuous-time diffusion models from discrete observations, with a particular emphasis on likelihood methods.

Keywords:

  • maximum likelihood;
  • transition density;
  • closed-form expansion;
  • efficient estimation