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Likelihood based inference for diffusion driven models
Chib, Siddhartha (contributor); Pitt, Michael K. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002396486
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Solving nonlinear dynamic stochastic models : an algorithm computing value function by simulations
Maliar, Lilia (contributor); Maliar, Serguei (contributor) - 2004 - [Elektronische Ressource], 1. ed.
Persistent link: https://www.econbiz.de/10002384174
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Likelihood based inference for diffusion driven models
Chib, Siddhartha (contributor); Pitt, Michael K. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002459152
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Likelihood inference for discretely observed nonlinear diffusions
Elerian, Ola; Chib, Siddhartha; Shephard, Neil G. - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 4, pp. 959-993
Persistent link: https://www.econbiz.de/10001594726
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Learning and expectations in macroeconomics
Evans, George W.; Honkapohja, Seppo - 2001
Persistent link: https://www.econbiz.de/10001511919
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Modeling the term structure of interest rates with general diffusion processes : a moment approximation approach
Takamizawa, Hideyuki; Shoji, Isao - In: Journal of economic dynamics & control 33 (2009) 1, pp. 65-77
Persistent link: https://www.econbiz.de/10003810161
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Option calibration of exponential Lévy models : implementation and empirical results
Söhl, Jakob; Trabs, Mathias - 2012
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods....
Persistent link: https://www.econbiz.de/10009502936
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Estimation in non-linear non-Gaussian state space models with precision-based methods
Chan, Joshua C. C.; Strachan, Rodney W. - 2012
Persistent link: https://www.econbiz.de/10009561179
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Special issue in honor of Kazuo Nishimura on nonlinear dynamics in equilibrium models
Stachursky, John (contributor); Nishimura, Kazuo (honouree) - 2012
Persistent link: https://www.econbiz.de/10009533391
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Unique solutions for stochastic recursive utilities
Marinacci, Massimo; Montrucchio, Luigi - In: Journal of economic theory 145 (2010) 5, pp. 1776-1804
Persistent link: https://www.econbiz.de/10009157184