Fiorentini, Gabriele; Iorio, Francesca Di; Calzolari, … - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998
Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The...