Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
收藏NBER2001-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w8504
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资源简介：
Asset returns have traditionally been modeled in the literature as following continuous-time Markov processes, and in many cases diffusions. Can discretely sampled financial rate data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the continuity of
提供机构：
美国国家经济研究局
创建时间：
2001-10-01
