Listar GI-C+D - Artigos por autor "Phillips, Garry D.A."
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Further Results on Pseudo-Maximun Likelihood Estimation and Testing the Constant Elasticity of Variance Continuous Time Model
Iglesias, Emma M.; Phillips, Garry D.A. (John Wiley & Sons, 2019)[Abstract]: Constant elasticity volatility processes have been shown to be useful, for example, to encompass a number of existing models that have closed-form likelihood functions. In this article, we extend the existing ...