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ChapterCalibration by simulation for small sample bias correction

Christian Gouriéroux2000

Chapter2000

Calibration by simulation for small sample bias correction

Christian Gouriéroux · Éric Renault · Nizar Touzi

90 citations·0/0 files stored·Cambridge University Press eBooks

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Simulation Techniques and Applications Statistical Distribution Estimation and Applications Survey Sampling and Estimation Techniques

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References

1993Estimating nonlinear time-series models using simulated vector autoregressions 1990Simulated Moments Estimation of Markov Models of Asset Prices 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models 1992Trends and Random Walks in Macroeconomic Time Series: A Re-Examination

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2006Indirect inference and calibration of dynamic stochastic general equilibrium models 2014In search of robust methods for dynamic panel data models in empirical corporate finance 2009Indirect inference for dynamic panel models 2004Constrained Indirect Estimation 2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 2012Correcting Estimation Bias in Dynamic Term Structure Models 2007Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation 2009Simulation-Based Estimation of Contingent-Claims Prices

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2009Indirect inference for dynamic panel modelsarticle · 3 shared references 2009Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Financechapter · 3 shared references 2012Bias in the estimation of the mean reversion parameter in continuous time modelsarticle · 3 shared references 2000Statistical Inference for Random-Variance Option Pricingarticle · 3 shared references 2007Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimationarticle · 3 shared references 2009Simulation-Based Estimation of Contingent-Claims Pricesarticle · 3 shared references

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Year2000

Typechapter

Published2000-07-20

VenueCambridge University Press eBooks

Languageen

Citations90

Files0 public / 0

ShelfSimulation Techniques and Applications

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doi10.1017/cbo9780511751981.018

openalex_workW1533792492

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