Christian Gouriéroux and Alain Monfort
- Published in print:
- 1997
- Published Online:
- November 2003
- ISBN:
- 9780198774754
- eISBN:
- 9780191596339
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774753.003.0006
- Subject:
- Economics and Finance, Econometrics
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 ...
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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.Less
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.
J. Durbin and S.J. Koopman
- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.003.0009
- Subject:
- Mathematics, Probability / Statistics
This chapter discusses the range of non-Gaussian and nonlinear models that can be analysed using the methods of Part II. The chapter is organized as follows. Section 9.2 considers an important ...
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This chapter discusses the range of non-Gaussian and nonlinear models that can be analysed using the methods of Part II. The chapter is organized as follows. Section 9.2 considers an important special form of the general linear non-Gaussian model. Sections 9.3–9.6 examine special cases of some subclasses of models of interest, namely exponential family models, heavy-tailed models, stochastic volatility model and other financial models. Section 9.7 describes some classes of nonlinear models of interest.Less
This chapter discusses the range of non-Gaussian and nonlinear models that can be analysed using the methods of Part II. The chapter is organized as follows. Section 9.2 considers an important special form of the general linear non-Gaussian model. Sections 9.3–9.6 examine special cases of some subclasses of models of interest, namely exponential family models, heavy-tailed models, stochastic volatility model and other financial models. Section 9.7 describes some classes of nonlinear models of interest.
