Simulated Moments Estimation of Markov Models of Asset Prices
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Publication:3142745
DOI10.2307/2951768zbMath0783.62099OpenAlexW2158488639MaRDI QIDQ3142745
Kenneth J. Singleton, J. Darrell Duffie
Publication date: 20 December 1993
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0087.pdf
asymptotic distributionasymptotic normalitygeneralized method of momentsweak consistencystrong consistencygeometric ergodicitystochastic growth modelmodel estimationuniform strong law of large numberssimulated moments estimatortime-homogeneous Markov processasset- pricing modelsdynamic asset-pricingmodulus-of-continuity conditionsparameter dependency
Applications of statistics to economics (62P20) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)
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