Simulation-based Estimation Methods for Financial Time Series Models
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References listed on IDEAS
- Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006.
"A class of nonlinear stochastic volatility models and its implications for pricing currency options,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(4), pages 2218-2231, December.
- Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
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More about this item
KeywordsGeneralized method of moments; Maximum likelihood; MCMC; Indirect Inference; Credit risk; Stock price; Exchange rate; Interest rate..;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-27 (All new papers)
- NEP-CMP-2010-11-27 (Computational Economics)
- NEP-ECM-2010-11-27 (Econometrics)
- NEP-ETS-2010-11-27 (Econometric Time Series)
- NEP-ORE-2010-11-27 (Operations Research)
- NEP-SEA-2010-11-27 (South East Asia)
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