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Nonlinear Systems Estimation: Asset Pricing Model Application

In: Economic and Financial Modeling with Mathematica®

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  • Stephen J. Brown

Abstract

In this chapter we consider the application of Mathematica in the context of estimating a simultaneous system of nonlinear equations. The particular application involves the estimation of asset pricing models. This subject is a staple of the financial economics literature. The objective is not to show how Mathematica can be used to solve problems of this type. Indeed, the program is not well suited to this kind of large scale numerical optimization. Rather, the intent is to show how Mathematica can be used in conjunction with more specialized software products for this purpose.

Suggested Citation

  • Stephen J. Brown, 1993. "Nonlinear Systems Estimation: Asset Pricing Model Application," Springer Books, in: Hal R. Varian (ed.), Economic and Financial Modeling with Mathematica®, chapter 13, pages 286-299, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4757-2281-9_13
    DOI: 10.1007/978-1-4757-2281-9_13
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