Applications to Financial Series

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI:

Series: OUP/CORE Lecture Series

 Applications to Financial Series

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics


Show Summary Details


Applications to estimation of Stochastic Differential Equations, Stochastic Volatility Models, and Factor Models are considered. The methods used are Indirect Inference, Simulated Moments (based on the infinitesimal operator) and Simulated Maximum Likelihood.

Keywords: Factor Models; infinitesimal operator; Kitagawa algorithm; Stochastic Differential Equations; Stochastic Volatility Models

Chapter.  10412 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.