Chapter

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: http://dx.doi.org/10.1093/0198774753.003.0006

Series: OUP/CORE Lecture Series

 Applications to Financial Series

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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

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