Simulated Moments Estimation of Markov Models of Asset Prices

This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset pricing model

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Year of publication:	[2010]
Authors:	Duffie, Darrell
Other Persons:	Singleton, Kenneth J. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Wahrscheinlichkeitsrechnung \| Probability theory \| CAPM \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (43 p)
Series:	NBER Working Paper ; No. t0087
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1990 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012760027