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Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
2015/8/5
A solution method and an estimation method for nonlinear rational expectations
models are presented in this paper. The solution method can be used in forecasting and
policy applications and can hand...
上海财经大学经济学院高级计量经济学I课件Lecture 3 Maximum Likelihood Estimation
上海财经大学经济学院 高级计量经济学I 课件 Lecture 3 Maximum Likelihood Estimation
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 3 Maximum Likelihood Estimation.
Maximum likelihood estimation of stochastic volatility models
Closed-form likelihood expansions Volatility proxies Heston model GARCH model CEV model
2014/3/13
We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure,where an optio...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.