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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

Robust estimation and inference for importance sampling estimators with infinite variance

Chan, Joshua; Hou, Chenghan; Yang, Thomas Tao - In: Essays in honor of Cheng Hsiao, (pp. 255-285). 2020

Persistent link: https://www.econbiz.de/10012249406

Bayesian versus maximum likelihood estimation of term structure models driven by latent diffusions

Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: Operations research proceedings 2005 : selected papers …, (pp. 507-512). 2006

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Estimation and inference in threshold type regime switching models

Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Handbook of research methods and applications in …, (pp. 189-205). 2013

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Performance of MS-GARCH models : Bayesian MCMC-based estimation

Xaba, Lawrence Diteboho; Moroke, Ntebogang Dinah; … - In: Handbook of research on emerging theories, models, and …, (pp. 323-356). 2021

In this chapter, both Maximum likelihood estimation (MLE) and Bayesian MCMC estimation methods are used to test their parameters estimation power while estimating a Markov-Switching generalized autoregressive conditional heteroscedasticity (MS-GARCH) model. The monthly exchange rates of BRICS...

Persistent link: https://www.econbiz.de/10012604264