Estimating stochastic volatility models through indirect inference
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- Peter C. B. Phillips & Jun Yu, 2009.
"Simulation-Based Estimation of Contingent-Claims Prices,"
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Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
- Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Jun Yu, 2008. "Simulation-based Estimation of Contingent-claims Prices," Finance Working Papers 22473, East Asian Bureau of Economic Research.
- Creel, Michael & Kristensen, Dennis, 2015.
"ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models,"
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- Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, Department of Economics and Business Economics, Aarhus University.
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
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Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen & Ruiz, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
- Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
- Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun, 2010.
"Indirect inference for dynamic panel models,"
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- Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation for Research in Economics, Yale University.
- Christian GouriÃƒÂ©roux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Development Economics Working Papers 22421, East Asian Bureau of Economic Research.
- Matteo Barigozzi & Roxana Halbleib & David Veredas, "undated". "Which model to match?," ULB Institutional Repository 2013/136240, ULB -- Universite Libre de Bruxelles.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
PIER Working Paper Archive
05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier.
- Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
- Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 2001. "Indirect inference and variance reduction using control variates," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 39-53.
- Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
- Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
- repec:bla:sysdyn:v:32:y:2016:i:2:p:154-178 is not listed on IDEAS
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