Simulation-Based Estimation Methods for Financial Time Series Models (Q3112468): Difference between revisions

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+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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+Closed-form likelihood expansions for multivariate diffusions
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+Saddlepoint approximations for continuous-time Markov processes
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+Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
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+Nonparametric estimation of structural models for high-frequency currency market data
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+Efficient importance sampling for ML estimation of SCD models
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+The Pricing of Options and Corporate Liabilities
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+Markov chain Monte Carlo methods for stochastic volatility models.
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+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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+Estimating the structural credit risk model when equity prices are contaminated by trading noises
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+Simulated Moments Estimation of Markov Models of Asset Prices
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
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+Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
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+Likelihood Inference for Discretely Observed Nonlinear Diffusions
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+A Bayesian analysis of some nonparametric problems
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+Estimating stochastic differential equations efficiently by minimum chi-squared
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+Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
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+Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
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+Indirect inference for dynamic panel models
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+The bootstrap and Edgeworth expansion
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+Large Sample Properties of Generalized Method of Moments Estimators
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+Multivariate Stochastic Variance Models
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Bayesian analysis of structural credit risk models with microstructure noises
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+Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Simulated maximum likelihood estimation of continuous time stochastic volatility models
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+Testing the assumptions behind importance sampling
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+Simulation estimation of time-series models
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+Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
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+Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
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+Approximate bias correction in econometrics
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+A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
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+Q3426055
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+BUGS for a Bayesian analysis of stochastic volatility models
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+Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
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+Q2753036
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+Stochastic volatility with leverage: fast and efficient likelihood inference
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+Simulation and the Asymptotics of Optimization Estimators
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+Comment: A selective overview of nonparametric methods in financial econometrics
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+Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
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+Filtering via Simulation: Auxiliary Particle Filters
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+Efficient high-dimensional importance sampling
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+Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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+Likelihood analysis of non-Gaussian measurement time series
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+Parameter estimation and bias correction for diffusion processes
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+An equilibrium characterization of the term structure
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+On leverage in a stochastic volatility model
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+Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
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+A class of nonlinear stochastic volatility models and its implications for pricing currency options
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+Invariance of Maximum Likelihood Estimators
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+Publication:3112468