Similar Search Results - EconBiz

Classical and Bayesian analysis of univariate and multivariate stochastic volatility models

Liesenfeld, Roman (contributor); … - 2004 - [Elektronische Ressource]

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

Persistent link: https://www.econbiz.de/10002476893

Asymptotics of the QMLE for a class of ARCH(q) models

Kristensen, Dennis (contributor); Rahbek, Anders (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702284

Parametric inference for diffusion processes observed at discrete points in time : a survey

Sørensen, Helle (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702316

Small diffusion asymptotics for discretely sampled stochastic differential equations

Sørensen, Michael (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001660122

Some simple ML estimators in stochastic differential equations

Andersen, Erling B. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001623258

Estimating quadratic term structure models by non-linear filtering

Taulbjerg, Jes (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001709219

Backpropagation neural network versus translog model in stochastic frontiers : a Monte Carlo comparison

Guermat, Cherif; Hadri, Kaddour - 1999

Persistent link: https://www.econbiz.de/10001398347

Simulated likelihood approximations for stochastic volatility models

Sørensen, Helle (contributor) - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001563848

A service of the