搜索结果: 1-5 共查到“数量经济学 maximum likelihood”相关记录5条 . 查询时间(0.073 秒)
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 approach for several stochastic volatility models
Maximum likelihood approach several stochastic volatility models Computational Finance
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...
Finite-sample Properties of Maximum Likelihood and Whittle Estimators in EGARCH and FIEGARCH Models
EGARCH fractionally integrated EGARCH maximum likelihood estimator
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...
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.