Simulated Moments Estimation of Markov Models of Asset Prices (Q3142745): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (4 intermediate revisions by 3 users not shown) | |||
| Property / author | |||
| Property / author: J. Darrell Duffie / rank | |||
| Property / author | |||
| Property / author: J. Darrell Duffie / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2158488639 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 23:01, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulated Moments Estimation of Markov Models of Asset Prices |
scientific article |
Statements
Simulated Moments Estimation of Markov Models of Asset Prices (English)
0 references
20 December 1993
0 references
generalized method of moments
0 references
uniform strong law of large numbers
0 references
model estimation
0 references
asymptotic normality
0 references
simulated moments estimator
0 references
asset- pricing models
0 references
time-homogeneous Markov process
0 references
dynamic asset-pricing
0 references
stochastic growth model
0 references
parameter dependency
0 references
geometric ergodicity
0 references
weak consistency
0 references
modulus-of-continuity conditions
0 references
strong consistency
0 references
asymptotic distribution
0 references
