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Consistent pseudo-maximum likelihood estimators

Gouriéroux, Christian; Monfort, Alain; Renault, Eric - 2017

Persistent link: https://www.econbiz.de/10012197835

Consistent pseudo-maximum likelihood estimators

Gouriéroux, Christian; Monfort, Alain; Renault, Eric - In: Annals of economics and statistics 125/126 (2017), pp. 187-218

Persistent link: https://www.econbiz.de/10011744364

Efficient derivate pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10003333856

Efficient derivative pricing by extended methods of moments

Gagliardini, Patrick (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003806842

Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...