Princeton University
Department of Economics - Bendheim Center
for Finance



Yacine Ait-Sahalia's Research Page



Closed-Form MLE for Diffusions



 

Financial support from the NSF under grants SBR-9996023, SBR-0111140, SBR-0350772, DMS-0532370 and SES-0850533 is gratefully acknowledged.

 

  • Current version: September 1, 2012: new models added.

 

 

  • Matlab Code. This code requires Matlab version 7 (R14), or later.

 

  • Slides describing the method, and references.

 

  • Please send me email if you wish to receive the likelihood expansions for a model not yet implemented. Your email should include the specification of your model as in the following example. Comments and bug reports are also welcome!

 

  • Run this code on your data series in a web-based interface at RunMyCode.org