Simulation-based Estimation Methods for Financial Time Series Models

• المؤلف الرئيسي: YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: Generalized method of moments; Maximum likelihood; MCMC; Indirect Inference; Bootstrap; Median Unbiased; Option pricing; Credit risk; Stock price; Exchange rate; Interestrate; Econometrics; Economic Theory
• الوصول للمادة أونلاين: 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

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...