搜索结果: 1-11 共查到“知识库 经济学 likelihood”相关记录11条 . 查询时间(0.078 秒)
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
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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...
Maximum likelihood approach for several stochastic volatility models
Maximum likelihood approach several stochastic volatility models Computational Finance
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2012/4/28
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method...
The Influence of Long-Term Care Insurance on the Likelihood of Nursing Home Admission
insurance nursing home use Longitudinal analysis known predictors respondents possessing
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2011/9/6
To determine the effect of long-term care (LTC) insurance on nursing home use. DESIGN: Longitudinal analysis, 1998 to 2006 waves of the Health Retirement Study. SETTING: Community-dwelling nationally ...
Maximum penalized quasi-likelihood estimation of the diffusion function
Maximum penalized quasi-likelihood estimation diffusion function
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2010/10/21
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estima...
Is CEO/Chair Duality Associated with Greater Likelihood of an International Acquisition?
Chair Duality Greater Likelihood International Acquisition
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2009/11/30
Is CEO/Chair Duality Associated with Greater Likelihood of an International Acquisition?
Estimating affine multifactor term structure models using closed-form likelihood expansions
Term structure Multifactor Interest rates Affine Closed-form maximum-likelihood
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2014/3/13
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nineDai and Singlet...
Finite-sample Properties of Maximum Likelihood and Whittle Estimators in EGARCH and FIEGARCH Models
EGARCH fractionally integrated EGARCH maximum likelihood estimator
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2010/9/7
EGARCH models for conditionally heteroscedastic time series have attracted a steadily increasing degree of attention in financial econometrics and related fields. These models are able to represent so...
Likelihood Inference for Diffusions: A Survey
Likelihood Inference Diffusions A Survey
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2014/3/13
Likelihood Inference for Diffusions: A Survey.
Maximum likelihood estimation of stochastic volatility models
Closed-form likelihood expansions Volatility proxies Heston model GARCH model CEV model
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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...
CLOSED-FORM LIKELIHOOD EXPANSIONS FOR MULTIVARIATE DIFFUSIONS
Diffusions likelihood expansions discrete observations
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2014/3/13
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
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2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.