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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates
Cserna, Balázs - 2008
We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...
Persistent link: https://www.econbiz.de/10003747325
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Adaptive estimation for affine stochastic delay differential equations
Reiß, Markus (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919316
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Minimax rates for nonparametric estimation of the drift functional in affine stochastic delay equations
Reiss, Markus - 2000
Persistent link: https://www.econbiz.de/10001528173
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Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications
Cui, Zhenyu - 2020
research, such as queuing theory. Note: this is an earlier version of the work "Efficient Simulation of Generalized SABR and …We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems … based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation …
Persistent link: https://www.econbiz.de/10012826668
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Unbiased estimators and multilevel Monte Carlo
Vihola, Matti - In: Operations research 66 (2018) 2, pp. 448-462
Persistent link: https://www.econbiz.de/10011845993
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On the Efficacy of Simulated Maximum Likelihood for Estimating the Parameters of Stochastic Differential Equation
Hurn, Stan; Lindsay, Kenneth; Martin, Vance L. - 2003
A method for estimating the parameters of stochastic differential equations (SDEs) by simulated maximum likelihood is presented. This method is feasible whenever the underlying SDE is a Markov process. Estimates are compared to those generated by indirect inference, discrete and exact maximum...
Persistent link: https://www.econbiz.de/10014087927
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Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael - In: Handbook of financial time series, (pp. 531-553). 2009
Persistent link: https://www.econbiz.de/10003834179
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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
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Second-order stochastic differential equation model as an alternative for the ALT and CALT models
Oud, J. H. L. - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 2, pp. 203-215
Persistent link: https://www.econbiz.de/10003980453