Simulation-Based Estimation Methods for Financial Time Series Models (Q3112468)

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Language	Label	Description	Also known as
English	Simulation-Based Estimation Methods for Financial Time Series Models	scientific article

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scholarly article

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Simulation-Based Estimation Methods for Financial Time Series Models (English)

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zbMATH Open document ID

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10.1007/978-3-642-17254-0_15

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Handbook of Computational Finance

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publication date

10 January 2012

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full work available at URL

https://ink.library.smu.edu.sg/soe_research/1238

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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Closed-form likelihood expansions for multivariate diffusions

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Nonparametric estimation of structural models for high-frequency currency market data

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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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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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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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