Simulation-based estimation methods for financial time series models
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Cites work
- A Bayesian analysis of some nonparametric problems
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- An equilibrium characterization of the term structure
- Approximate bias correction in econometrics
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- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Closed-form likelihood expansions for multivariate diffusions
- Comment: A selective overview of nonparametric methods in financial econometrics
- Efficient high-dimensional importance sampling
- Efficient importance sampling for ML estimation of SCD models
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- Estimating the structural credit risk model when equity prices are contaminated by trading noises
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- Filtering via Simulation: Auxiliary Particle Filters
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- Indirect inference for dynamic panel models
- Invariance of Maximum Likelihood Estimators
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- Simulation and the Asymptotics of Optimization Estimators
- Simulation estimation of time-series models
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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- Testing the assumptions behind importance sampling
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- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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