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Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
2015/8/5
A solution method and an estimation method for nonlinear rational expectations
models are presented in this paper. The solution method can be used in forecasting and
policy applications and can hand...
上海财经大学经济学院高级计量经济学I课件Lecture 3 Maximum Likelihood Estimation
上海财经大学经济学院 高级计量经济学I 课件 Lecture 3 Maximum Likelihood Estimation
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 3 Maximum Likelihood Estimation.
Maximum likelihood approach for several stochastic volatility models
Maximum likelihood approach several stochastic volatility models Computational Finance
2012/4/28
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method...
The Influence of Long-Term Care Insurance on the Likelihood of Nursing Home Admission
insurance nursing home use Longitudinal analysis known predictors respondents possessing
2011/9/6
To determine the effect of long-term care (LTC) insurance on nursing home use. DESIGN: Longitudinal analysis, 1998 to 2006 waves of the Health Retirement Study. SETTING: Community-dwelling nationally ...
Maximum penalized quasi-likelihood estimation of the diffusion function
Maximum penalized quasi-likelihood estimation diffusion function
2010/10/21
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estima...
Is CEO/Chair Duality Associated with Greater Likelihood of an International Acquisition?
Chair Duality Greater Likelihood International Acquisition
2009/11/30
Is CEO/Chair Duality Associated with Greater Likelihood of an International Acquisition?
Finite-sample Properties of Maximum Likelihood and Whittle Estimators in EGARCH and FIEGARCH Models
EGARCH fractionally integrated EGARCH maximum likelihood estimator
2010/9/7
EGARCH models for conditionally heteroscedastic time series have attracted a steadily increasing degree of attention in financial econometrics and related fields. These models are able to represent so...
Likelihood Inference for Diffusions: A Survey.
Maximum likelihood estimation of stochastic volatility models
Closed-form likelihood expansions Volatility proxies Heston model GARCH model CEV model
2014/3/13
We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure,where an optio...
CLOSED-FORM LIKELIHOOD EXPANSIONS FOR MULTIVARIATE DIFFUSIONS
Diffusions likelihood expansions discrete observations
2014/3/13
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.