Indirect estimation of stochastic differential equation models: some computational experiments

DOI10.1007/BF00121638MaRDI QIDQ2365319zbMATH OpenOpenAlexWikidataFDO

Authors Carlo Bianchi, Eugene M. Cleur

Publication date 1996

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00121638

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• An equilibrium characterization of the term structure
• An Intertemporal General Equilibrium Model of Asset Prices
• Continuous Markov processes and stochastic equations
• CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS
• scientific article; zbMATH DE number 3949563 (Why is no real title available?)
• scientific article; zbMATH DE number 3447973 (Why is no real title available?)
• Simulation estimation of time-series models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• The Structural Estimation of a Stochastic Differential Equation System
• Two singular diffusion problems

Cited in

(4)

• Indirect inference for time series using the empirical characteristic function and control variates
• Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model
• Discontinuities in indirect estimation: an application to EAR models
• Analyzing fish movement as a persistent turning walker

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