Maximum Likelihood Estimation of Latent Affine Processes
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下载链接：
https://www.nber.org/papers/w9673
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资源简介：
This article develops a direct filtration-based maximum likelihood methodology for estimating the parameters and realizations of latent affine processes. The equivalent of Bayes' rule is derived for recursively updating the joint characteristic function of latent variables and the data conditional
提供机构：
美国国家经济研究局
创建时间：
2003-05-01
