Simulation-based Estimation Methods for Financial Time Series Models

Simulation-based Estimation Methods for Financial Time Series Models

This paper overviews some recent advances on simulatio n-based methods of estimating time series models and asset pricing models that are widely used in finance. The simulation based methods have proven to be particularly useful when the likelihood function and moments do not have tractable forms an...

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Bibliographic Details
Main Author: YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Generalized method of moments
Maximum likelihood
MCMC
Indirect Inference
Bootstrap
Median Unbiased
Option pricing
Credit risk
Stock price
Exchange rate
Interestrate
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/1238
https://ink.library.smu.edu.sg/context/soe_research/article/2237/viewcontent/yu_draft_1.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1238
https://ink.library.smu.edu.sg/context/soe_research/article/2237/viewcontent/yu_draft_1.pdf

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