메뉴 건너뛰기




Volumn , Issue , 2010, Pages 427-477

Simulated Score Methods and Indirect Inference for Continuous-time Models

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84864722255     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-0-444-50897-3.50011-0     Document Type: Chapter
Times cited : (20)

References (97)
  • 1
    • 84882490965 scopus 로고    scopus 로고
    • Aguirre-Torres, V (2001) "Local behavior of the efficient method of moments in iid models," Technical Report DE-C01.3, Division Academica de Actuaria, Estadistica Matematicas, Instituto Tecnologico Autonomo de Mexico (ITAM), Rio Hondo #1, Mexico DF 01000, Mexico.
    • Aguirre-Torres, V (2001) "Local behavior of the efficient method of moments in iid models," Technical Report DE-C01.3, Division Academica de Actuaria, Estadistica Matematicas, Instituto Tecnologico Autonomo de Mexico (ITAM), Rio Hondo #1, Mexico DF 01000, Mexico.
  • 2
    • 84882539435 scopus 로고    scopus 로고
    • Aguirre-Torres, V, and A. R. Gallant (2001) "Local behavior of the efficient method of moments in dynamic models," Technical Report DE-C01.6, Division Academica de Actuaria, Estadistica Matematicas, Instituto Tecnologico Autonomo de Mexico (ITAM), Rio Hondo #1, Mexico DF 01000, Mexico.
    • Aguirre-Torres, V, and A. R. Gallant (2001) "Local behavior of the efficient method of moments in dynamic models," Technical Report DE-C01.6, Division Academica de Actuaria, Estadistica Matematicas, Instituto Tecnologico Autonomo de Mexico (ITAM), Rio Hondo #1, Mexico DF 01000, Mexico.
  • 4
    • 0346937479 scopus 로고    scopus 로고
    • "Purebred or hybrid?: reproducing the volatility in term structure dynamics,"
    • Ahn D.-H, Dittmar R.F., Gallant A.R., Gao B. "Purebred or hybrid?: reproducing the volatility in term structure dynamics,". Journal of Econometrics 2002, 116:147-180.
    • (2002) Journal of Econometrics , vol.116 , pp. 147-180
    • Ahn, D.-H.1    Dittmar, R.F.2    Gallant, A.R.3    Gao, B.4
  • 5
    • 0012692686 scopus 로고    scopus 로고
    • "Towards an empirical foundation for continuoustime equity return models,"
    • Andersen T.G., Benzoni L., Lund J. "Towards an empirical foundation for continuoustime equity return models,". Journal of Finance 2002, 57:1239-1284.
    • (2002) Journal of Finance , vol.57 , pp. 1239-1284
    • Andersen, T.G.1    Benzoni, L.2    Lund, J.3
  • 6
    • 0002775221 scopus 로고    scopus 로고
    • "Efficient method of moments estimation of a stochastic volatility model: a Monte Carlo study,"
    • Andersen T.G., Chung H.-J., Sørensen B.E. "Efficient method of moments estimation of a stochastic volatility model: a Monte Carlo study,". Journal of Econometrics 1999, 91:61-87.
    • (1999) Journal of Econometrics , vol.91 , pp. 61-87
    • Andersen, T.G.1    Chung, H.-J.2    Sørensen, B.E.3
  • 7
    • 0000309098 scopus 로고    scopus 로고
    • "Estimating continuous time stochastic volatility models of the short term interest rate,"
    • Andersen T.G., Lund J. "Estimating continuous time stochastic volatility models of the short term interest rate,". Journal of Econometrics 1997, 77:343-378.
    • (1997) Journal of Econometrics , vol.77 , pp. 343-378
    • Andersen, T.G.1    Lund, J.2
  • 8
    • 0001758906 scopus 로고
    • "Heteroskedasticity and autocorrelation consistent covariance matrix estimation,"
    • Andrews D.W.K. "Heteroskedasticity and autocorrelation consistent covariance matrix estimation,". Econometrica 1991, 59:307-346.
    • (1991) Econometrica , vol.59 , pp. 307-346
    • Andrews, D.W.K.1
  • 9
    • 84882545412 scopus 로고    scopus 로고
    • Austin, A., and B. Katzman (2001) "Testing a model of multi-unit bidder demands using auction data," Working Paper, University of Miami.
    • Austin, A., and B. Katzman (2001) "Testing a model of multi-unit bidder demands using auction data," Working Paper, University of Miami.
  • 12
    • 0002698496 scopus 로고
    • "Nonparametric estimation of structural models for high-frequency currency market data,"
    • Bansal R., Gallant A.R., Hussey R., Tauchen G. "Nonparametric estimation of structural models for high-frequency currency market data,". Journal of Econometrics 1995, 66:251-287.
    • (1995) Journal of Econometrics , vol.66 , pp. 251-287
    • Bansal, R.1    Gallant, A.R.2    Hussey, R.3    Tauchen, G.4
  • 13
    • 34548530448 scopus 로고    scopus 로고
    • "Rational pessimism, rational exuberance, and asset pricing models,"
    • Bansal R., Gallant A.R., Tauchen G. "Rational pessimism, rational exuberance, and asset pricing models,". Review of Economic Studies 2007, 74:1005-1033.
    • (2007) Review of Economic Studies , vol.74 , pp. 1005-1033
    • Bansal, R.1    Gallant, A.R.2    Tauchen, G.3
  • 14
    • 4344674622 scopus 로고    scopus 로고
    • "Risks for the long run: a potential resolution of asset pricing puzzles,"
    • Bansal R., Yaron A. "Risks for the long run: a potential resolution of asset pricing puzzles,". Journal of Finance 2004, 59:1481-1509.
    • (2004) Journal of Finance , vol.59 , pp. 1481-1509
    • Bansal, R.1    Yaron, A.2
  • 15
    • 0038463332 scopus 로고    scopus 로고
    • "Term structure of interest rates with regime shifts,"
    • Bansal R., Zhou H. "Term structure of interest rates with regime shifts,". Journal of Finance 2002, 57:1997-2043.
    • (2002) Journal of Finance , vol.57 , pp. 1997-2043
    • Bansal, R.1    Zhou, H.2
  • 16
    • 42449156579 scopus 로고
    • "Generalized autoregressive conditional heteroskedasticity,"
    • Bollerslev T. "Generalized autoregressive conditional heteroskedasticity,". Journal of Econometrics 1986, 31:307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 17
    • 0000118737 scopus 로고
    • "Common persistence in conditional variances,"
    • Bollerslev T., Engle R.F. "Common persistence in conditional variances,". Econometrica 1993, 61:167-186.
    • (1993) Econometrica , vol.61 , pp. 167-186
    • Bollerslev, T.1    Engle, R.F.2
  • 19
    • 84882471536 scopus 로고    scopus 로고
    • Chernov, M., A. R. Gallant, E. Ghysels, and G. Tauchen (1999) "A new class of stochastic volatility models with jumps: theory and estimation," Working Paper, University of North Carolina-Chapel Hill.
    • Chernov, M., A. R. Gallant, E. Ghysels, and G. Tauchen (1999) "A new class of stochastic volatility models with jumps: theory and estimation," Working Paper, University of North Carolina-Chapel Hill.
  • 21
    • 0034196104 scopus 로고    scopus 로고
    • "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation,"
    • Chernov M., Ghysels E. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation,". Journal of Financial Economics 2000, 56:407-458.
    • (2000) Journal of Financial Economics , vol.56 , pp. 407-458
    • Chernov, M.1    Ghysels, E.2
  • 22
    • 0347354945 scopus 로고    scopus 로고
    • "An MCMC approach to classical estimation,"
    • Chernozhukov V., Hong H. "An MCMC approach to classical estimation,". Journal of Econometrics 2003, 115:293-346.
    • (2003) Journal of Econometrics , vol.115 , pp. 293-346
    • Chernozhukov, V.1    Hong, H.2
  • 23
  • 26
    • 0008766361 scopus 로고    scopus 로고
    • "Specification analysis of affine term structure models,"
    • Dai Q., Singleton K.J. "Specification analysis of affine term structure models,". Journal of Finance 2000, LV(5):1943-1978.
    • (2000) Journal of Finance , vol.LV , Issue.5 , pp. 1943-1978
    • Dai, Q.1    Singleton, K.J.2
  • 27
    • 84882490804 scopus 로고    scopus 로고
    • Danielsson, J., and F. Penaranda (2007) "On the impact of fundamentals, liquidity, and coordination on market stability," Working Paper, London School of Economics Available at .
    • Danielsson, J., and F. Penaranda (2007) "On the impact of fundamentals, liquidity, and coordination on market stability," Working Paper, London School of Economics Available at . http://www.riskresearch.org.
  • 29
    • 84882529722 scopus 로고    scopus 로고
    • Dridi, R., and E. Renault (1998) "Semiparametric indirect inference," Manuscript, Department of Economics, University of North Carolina.
    • Dridi, R., and E. Renault (1998) "Semiparametric indirect inference," Manuscript, Department of Economics, University of North Carolina.
  • 31
    • 0003285896 scopus 로고
    • "Target zones, broad and narrow,"
    • Cambridge University Press, Cambridge, P. Krugman, M. Miller (Eds.)
    • Delgado F., Dumas B. "Target zones, broad and narrow,". Exchange Rate Targets and Currency Bands 1991, 108-135. Cambridge University Press, Cambridge. P. Krugman, M. Miller (Eds.).
    • (1991) Exchange Rate Targets and Currency Bands , pp. 108-135
    • Delgado, F.1    Dumas, B.2
  • 32
    • 0000593389 scopus 로고
    • "Simulated moments estimation of Markov models of asset prices,"
    • Duffie D., Singleton K.J. "Simulated moments estimation of Markov models of asset prices,". Econometrica 1993, 61:929-952.
    • (1993) Econometrica , vol.61 , pp. 929-952
    • Duffie, D.1    Singleton, K.J.2
  • 33
    • 0034551268 scopus 로고    scopus 로고
    • "A multivariate latent factor decomposition of international bond yield spreads,"
    • Dungey M., Martin V.L., Pagan A.R. "A multivariate latent factor decomposition of international bond yield spreads,". Journal of Applied Econometrics 2000, 15:697-715.
    • (2000) Journal of Applied Econometrics , vol.15 , pp. 697-715
    • Dungey, M.1    Martin, V.L.2    Pagan, A.R.3
  • 34
    • 0000051984 scopus 로고
    • "Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation,"
    • Engle R.F. "Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation,". Econometrica 1982, 50:987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 35
    • 0001659575 scopus 로고
    • "Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market,"
    • Engle R.F., Ito T., Lin W -L. "Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market,". Econometrica 1990, 58:525-542.
    • (1990) Econometrica , vol.58 , pp. 525-542
    • Engle, R.F.1    Ito, T.2    Lin, W.-L.3
  • 36
    • 84974122247 scopus 로고
    • "Multivariate simultaneous generalized ARCH,"
    • Engle R.F., Kroner K.F. "Multivariate simultaneous generalized ARCH,". Econometric Theory 1995, 11:122-150.
    • (1995) Econometric Theory , vol.11 , pp. 122-150
    • Engle, R.F.1    Kroner, K.F.2
  • 38
    • 0001676864 scopus 로고
    • "On an absolute criterion for fitting frequency curves,"
    • Fisher R.A. "On an absolute criterion for fitting frequency curves,". Messages of Mathematics 1912, 41:155-157.
    • (1912) Messages of Mathematics , vol.41 , pp. 155-157
    • Fisher, R.A.1
  • 41
    • 0010743207 scopus 로고
    • "Explicit estimators of parametric functions in nonlinear regression,"
    • Gallant A.R. "Explicit estimators of parametric functions in nonlinear regression,". Journal of the American Statistical Association 1980, 75:182-193.
    • (1980) Journal of the American Statistical Association , vol.75 , pp. 182-193
    • Gallant, A.R.1
  • 43
    • 63549092521 scopus 로고    scopus 로고
    • "A statistical inquiry into the plausibility of recursive utility,"
    • Gallant A.R., Hong H. "A statistical inquiry into the plausibility of recursive utility,". Journal of Financial Econometrics 2007, 5:523-590.
    • (2007) Journal of Financial Econometrics , vol.5 , pp. 523-590
    • Gallant, A.R.1    Hong, H.2
  • 45
    • 0000890084 scopus 로고    scopus 로고
    • "Estimation of stochastic volatility models with diagnostics,"
    • Gallant A.R., Hsieh D.A., Tauchen G. "Estimation of stochastic volatility models with diagnostics,". Journal of Econometrics 1997, 81:159-192.
    • (1997) Journal of Econometrics , vol.81 , pp. 159-192
    • Gallant, A.R.1    Hsieh, D.A.2    Tauchen, G.3
  • 46
    • 0040531815 scopus 로고    scopus 로고
    • "Using daily range data to calibrate volatility diffusions and extract the forward integrated variance,"
    • Gallant A.R., Hsu C.-T., Tauchen G. "Using daily range data to calibrate volatility diffusions and extract the forward integrated variance,". The Review of Economics and Statistics 1999, 81(4):617-631.
    • (1999) The Review of Economics and Statistics , vol.81 , Issue.4 , pp. 617-631
    • Gallant, A.R.1    Hsu, C.-T.2    Tauchen, G.3
  • 47
    • 33746404294 scopus 로고    scopus 로고
    • "Estimating stochastic differential equations efficiently by minimum chi-squared,"
    • Gallant A.R., Long J. "Estimating stochastic differential equations efficiently by minimum chi-squared,". Biometrika 1997, 84:125-141.
    • (1997) Biometrika , vol.84 , pp. 125-141
    • Gallant, A.R.1    Long, J.2
  • 48
    • 70350345566 scopus 로고    scopus 로고
    • "On the determination of general statistical models with application to asset pricing,"
    • Gallant A.R., McCulloch R.E. "On the determination of general statistical models with application to asset pricing,". Journal of the American Statistical Association 2009, 104:117-131.
    • (2009) Journal of the American Statistical Association , vol.104 , pp. 117-131
    • Gallant, A.R.1    McCulloch, R.E.2
  • 49
    • 0002245296 scopus 로고
    • "Semi-nonparametric maximum likelihood estimation,"
    • Gallant A.R., Nychka D.W. "Semi-nonparametric maximum likelihood estimation,". Econometrica 1987, 55:363-390.
    • (1987) Econometrica , vol.55 , pp. 363-390
    • Gallant, A.R.1    Nychka, D.W.2
  • 51
    • 0000650053 scopus 로고
    • "Semi-nonparametric estimation of conditionally constrained heterogeneous processes: asset pricing applications,"
    • Gallant A.R., Tauchen G. "Semi-nonparametric estimation of conditionally constrained heterogeneous processes: asset pricing applications,". Econometrica 1989, 57:1091-1120.
    • (1989) Econometrica , vol.57 , pp. 1091-1120
    • Gallant, A.R.1    Tauchen, G.2
  • 52
    • 0039818638 scopus 로고
    • "A nonparametric approach to nonlinear time series analysis: estimation and simulation,"
    • SpringerVerlag, New York, E. Parzen, D. Brillinger, M. Rosenblatt, M. Taqqu, J. Geweke, P. Caines (Eds.)
    • Gallant A.R., Tauchen G. "A nonparametric approach to nonlinear time series analysis: estimation and simulation,". New Dimensions in Time Series Analysis 1992, 71-92. SpringerVerlag, New York. E. Parzen, D. Brillinger, M. Rosenblatt, M. Taqqu, J. Geweke, P. Caines (Eds.).
    • (1992) New Dimensions in Time Series Analysis , pp. 71-92
    • Gallant, A.R.1    Tauchen, G.2
  • 54
    • 0031331096 scopus 로고    scopus 로고
    • "Estimation of continuous time models for stock returns and interest rates,"
    • Gallant A.R., Tauchen G. "Estimation of continuous time models for stock returns and interest rates,". Macroeconomic Dynamics 1997, 1:135-168.
    • (1997) Macroeconomic Dynamics , vol.1 , pp. 135-168
    • Gallant, A.R.1    Tauchen, G.2
  • 55
    • 0032346647 scopus 로고    scopus 로고
    • "Reprojecting partially observed systems with application to interest rate diffusions,"
    • Gallant A.R., Tauchen G. "Reprojecting partially observed systems with application to interest rate diffusions,". Journal of the American Statistical Association 1998, 93:10-24.
    • (1998) Journal of the American Statistical Association , vol.93 , pp. 10-24
    • Gallant, A.R.1    Tauchen, G.2
  • 56
    • 0000709535 scopus 로고    scopus 로고
    • "The relative efficiency of method of moments estimators,"
    • Gallant A.R., Tauchen G. "The relative efficiency of method of moments estimators,". Journal of Econometrics 1999, 92:149-172.
    • (1999) Journal of Econometrics , vol.92 , pp. 149-172
    • Gallant, A.R.1    Tauchen, G.2
  • 62
    • 38249003514 scopus 로고
    • "Variations in economic uncertainty and risk premiums on capital assets,"
    • Gennotte G., Marsh T.A. "Variations in economic uncertainty and risk premiums on capital assets,". European Economic Review 1993, 37:1021-1041.
    • (1993) European Economic Review , vol.37 , pp. 1021-1041
    • Gennotte, G.1    Marsh, T.A.2
  • 64
    • 0141568782 scopus 로고    scopus 로고
    • "Simulation-based inference for simultaneous processes on regular lattices,"
    • Genton M.G., de Luna X. "Simulation-based inference for simultaneous processes on regular lattices,". Statistics and Computing 2002, 12:125-134.
    • (2002) Statistics and Computing , vol.12 , pp. 125-134
    • Genton, M.G.1    de Luna, X.2
  • 65
    • 0000752484 scopus 로고
    • "The approximate slope of econometric tests,"
    • Geweke J. "The approximate slope of econometric tests,". Econometrica 1983, 49:1427-1442.
    • (1983) Econometrica , vol.49 , pp. 1427-1442
    • Geweke, J.1
  • 67
    • 0000414660 scopus 로고
    • "Large sample properties of generalized method of moments estimators,"
    • Hansen L.P. "Large sample properties of generalized method of moments estimators,". Econometrica 1982, 50:1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 68
    • 0001717704 scopus 로고
    • "Simulation estimation of time series models,"
    • Ingram B.F., Lee B.S. "Simulation estimation of time series models,". Journal of Econometrics 1991, 47:197-250.
    • (1991) Journal of Econometrics , vol.47 , pp. 197-250
    • Ingram, B.F.1    Lee, B.S.2
  • 69
    • 84882495947 scopus 로고    scopus 로고
    • "Option pricing with the efficient method of moments,"
    • MIT Press, Cambridge, MA, Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo, A.S. Weigend (Eds.)
    • Jiang G.J., van der Sluis P.J. "Option pricing with the efficient method of moments,". Computational Finance 2000, MIT Press, Cambridge, MA. Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo, A.S. Weigend (Eds.).
    • (2000) Computational Finance
    • Jiang, G.J.1    van der Sluis, P.J.2
  • 72
    • 84974325324 scopus 로고
    • "Maximum likelihood estimation of generalized Ito process with discretely sampled data,"
    • Lo A.W. "Maximum likelihood estimation of generalized Ito process with discretely sampled data,". Econometric Theory 1988, 4:231-247.
    • (1988) Econometric Theory , vol.4 , pp. 231-247
    • Lo, A.W.1
  • 73
  • 74
    • 0346431542 scopus 로고    scopus 로고
    • "Simulation based estimation of some factor models in econometrics,"
    • Cambridge University Press, Cambridge, R. Mariano, T. Schuermann (Eds.)
    • Martin V.L., Pagan A.R. "Simulation based estimation of some factor models in econometrics,". Simulation Based Estimation in Econometrics 2000, 235-254. Cambridge University Press, Cambridge. R. Mariano, T. Schuermann (Eds.).
    • (2000) Simulation Based Estimation in Econometrics , pp. 235-254
    • Martin, V.L.1    Pagan, A.R.2
  • 75
    • 84882551212 scopus 로고    scopus 로고
    • Estimating one factor models of short-term interest rates," Working Paper 99-18, Bank of Canada, Ottawa, Canada.
    • McManus D., and D. Watt (1999) "Estimating one factor models of short-term interest rates," Working Paper 99-18, Bank of Canada, Ottawa, Canada.
    • (1999)
    • McManus, D.1    Watt, D.2
  • 76
    • 84882492267 scopus 로고    scopus 로고
    • Essays on financial market volatility," Ph.D. Thesis, Duke University.
    • Mixon, O. S. (1998) "Essays on financial market volatility," Ph.D. Thesis, Duke University.
    • (1998)
    • Mixon, O.S.1
  • 77
    • 33947678649 scopus 로고    scopus 로고
    • "Learning-by-doing versus selection: can we tell them apart?,"
    • Nagypal E. "Learning-by-doing versus selection: can we tell them apart?,". Review of Economic Studies 2007, 74:537-566.
    • (2007) Review of Economic Studies , vol.74 , pp. 537-566
    • Nagypal, E.1
  • 78
    • 0000641348 scopus 로고
    • "Conditional heteroskedasticity in asset returns: a new approach,"
    • Nelson D. "Conditional heteroskedasticity in asset returns: a new approach,". Econometrica 1991, 59:347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.1
  • 79
    • 0000992663 scopus 로고
    • "On the use and interpretation of certain test criteria for purposes of statistical inference,"
    • 263-294
    • Neyman J., Pearson E.S. "On the use and interpretation of certain test criteria for purposes of statistical inference,". Biometrika 1928, 20A:175-240. 263-294.
    • (1928) Biometrika , vol.20 A , pp. 175-240
    • Neyman, J.1    Pearson, E.S.2
  • 80
    • 0000632793 scopus 로고    scopus 로고
    • "Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators,"
    • Ng S., Michaelides A. "Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators,". Journal of Econometrics 2000, 96:231-266.
    • (2000) Journal of Econometrics , vol.96 , pp. 231-266
    • Ng, S.1    Michaelides, A.2
  • 81
  • 83
    • 0001331135 scopus 로고
    • "Simulation and the asymptotics of optimization estimators,"
    • Pakes A., Pollard D. "Simulation and the asymptotics of optimization estimators,". Econometrica 1989, 57:1027-1058.
    • (1989) Econometrica , vol.57 , pp. 1027-1058
    • Pakes, A.1    Pollard, D.2
  • 87
    • 0000120766 scopus 로고
    • "Estimating the dimension of a model,"
    • Schwarz G. "Estimating the dimension of a model,". The Annals of Statistics 1978, 6:461-464.
    • (1978) The Annals of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 88
    • 0000997472 scopus 로고
    • "Macroeconomics and reality,"
    • Sims C.A. "Macroeconomics and reality,". Econometrica 1980, 48:1-48.
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.A.1
  • 90
    • 84986413049 scopus 로고
    • "Estimating nonlinear time series models using simulated vector autoregressions,"
    • Smith A.A. "Estimating nonlinear time series models using simulated vector autoregressions,". The Journal of Applied Econometrics 1993, 8:S63-S84.
    • (1993) The Journal of Applied Econometrics , vol.8
    • Smith, A.A.1
  • 91
    • 0000708561 scopus 로고
    • "Diagnostic testing and evaluation of maximum likelihood models,"
    • Tauchen G. "Diagnostic testing and evaluation of maximum likelihood models,". Journal of Econometrics 1985, 30:415-443.
    • (1985) Journal of Econometrics , vol.30 , pp. 415-443
    • Tauchen, G.1
  • 92
    • 0001982376 scopus 로고    scopus 로고
    • "New minimum chi-square methods in empirical finance,"
    • Cambridge University Press, Cambridge, UK, D. Kreps, K. Wallis (Eds.)
    • Tauchen G. "New minimum chi-square methods in empirical finance,". Advances in Econometrics, Seventh World Congress 1997, 279-317. Cambridge University Press, Cambridge, UK. D. Kreps, K. Wallis (Eds.).
    • (1997) Advances in Econometrics, Seventh World Congress , pp. 279-317
    • Tauchen, G.1
  • 93
    • 0032365683 scopus 로고    scopus 로고
    • "The objective function of simulation estimators near the boundary of the unstable region of the parameter space,"
    • Tauchen G. "The objective function of simulation estimators near the boundary of the unstable region of the parameter space,". Review of Economics and Statistics 1998, 80:389-398.
    • (1998) Review of Economics and Statistics , vol.80 , pp. 389-398
    • Tauchen, G.1
  • 95
    • 10244248930 scopus 로고    scopus 로고
    • "Emm Pack 1.01: C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments,"
    • Van der Sluis P.J. "Emm Pack 1.01: C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments,". Nonlinear Dynamics and Econometrics 1997, 2:77-94.
    • (1997) Nonlinear Dynamics and Econometrics , vol.2 , pp. 77-94
    • Van der Sluis, P.J.1
  • 97
    • 0010660619 scopus 로고    scopus 로고
    • "Finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model,"
    • Zhou H. "Finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model,". Journal of Computational Finance 2001, 5:89-122.
    • (2001) Journal of Computational Finance , vol.5 , pp. 89-122
    • Zhou, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.