TY  - JOUR
AU  - Ait-Sahalia,Yacine
TI  - Closed-Form Likelihood Expansions for Multivariate Diffusions
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8956
PY  - 2002
Y2  - May 2002
UR  - http://www.nber.org/papers/w8956
L1  - http://www.nber.org/papers/w8956.pdf
N1  - Author contact info:
Yacine Ait-Sahalia
Department of Economics
Fisher Hall
Princeton University
Princeton, NJ 08544-1021
Tel: 609/258-4015
Fax: 609/258-0719
E-Mail: yacine@princeton.edu
AB  - This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis. Because the transition function for most diffusion models is not known explicitly, the expansions of this paper can help make maximum-likelihood a practical estimation method for discretely sampled multivariate diffusions. Examples of interest in financial econometrics are included.
ER  -