Eraker, Bjorn (1998), "MCMC Analysis of Diffusion Models with Application to Finance," Working Paper , Graduate School of Business, University of Chicago. Home/Search Document Details and Download
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Estimating Stochastic Volatility Diffusion Using Conditional .. - Bollerslev, Zhou (2000) (Correct)
....density function for the corresponding discretely sampled observations, and numerous competing estimation strategies have been proposed in the literature. An incomplete list of these different techniques includes the Markov Chain Monte Carlo (MCMC) methods advanced by Jacquier et al. 1994) Eraker (1998), Kim et al. 1998) and Elerian et al. 1998) the simulated methods of moments approach in Duffie and Singleton (1993) the indirect inference procedure of Gourieroux et al. 1993) utilized by Engle and Lee (1997) the Efficient Methods of Moments (EMM) developed by Gallant and Tauchen (1996) and ....
Eraker, Bjorn (1998), "MCMC Analysis of Diffusion Models with Application to Finance," Working Paper , Graduate School of Business, University of Chicago.
Simulated Likelihood Approximations for Stochastic Volatility.. - Sørensen (2000) (Correct)
....are quite computationally intensive. Nielsen, Vestergaard Madsen (2000) use a filtering approach where values of V are estimated together with the parameter. This requires that n (that is, the number of observed increments) five dimensional differential equation are solved by numerical methods. Eraker (1998) uses a Bayesian approach which requires Markov Chain Monte Carlo simulation of values of q as well as of V and X at a number of time points in between those where X is observed; see also Elerian, Chib Shephard (2000) The socalled efficient method of moments (Gallant Tauchen 1996) is applied ....
Eraker, B. (1998), MCMC analysis of diffusion models with application to finance, Discussion paper 1998-5, Department of Finance and Management Science, Norwegian School of Economics and Business Administration.
Prediction-based Estimating Functions for Diffusion.. - Nolsøe, Nielsen, Madsen (2000) (Correct)
....only a temporary behavior in the stock market. H Alternatively, the Efficient Method of Moments (EMM) method (Gallant and Tauchen, 1996) is applied in (Gallant et al. 1997; Gallant, Hsu and Tauchen, 1998) A Bayesian approach based on a Markov Chain Monte Carlo (MCMC) methodology is proposed by (Eraker, 1998). Neither of these methods allow for measurement noise. However, another estimation method for this class of models based on a second order nonlinear filter is proposed by (Nielsen, Vestergaard and Madsen, 2000) Additional theoretical results on SV models may be found in e.g. the series of papers ....
Eraker, B. (1998), MCMC Analysis of Diffusion Models with Applications to Finance. Manuscript, NHH, Bergen.
Estimating Continuous-time Stochastic Volatility.. - Madsen, Nielsen.. (Correct)
....1 Corresponding author: Tlf 4525 3408, fax 4588 1397, Email hm imm.dtu.dk. 1 Another branch of the literature has extended the (Pedersen, 1995) approach of considering the estimation problem as a missing value problem by using Markov Chain Monte Carlo Methods (Elerian, Chib and Shephard, 1998; Eraker, 1998; Jones, 1997) A third branch of the literature deals with simulation based methods and moment matching. The efficient method of moments (Gallant and Tauchen, 1996) is a slightly refined version of the Indirect Inference method due to (Gourieroux, Monfort and Renault, 1993) This method has been ....
Eraker, B. (1998), MCMC Analysis of Diffusion Models with Applications to Finance. Manuscript, NHH, Bergen.
MCMC Analysis of Diffusion Models with Application to Finance - Eraker (1998) (4 citations) Self-citation (Eraker) (Correct)
....Finance in Aarhus, CORE (Lovain la Neuve) University of Copenhagen, Nordic Symposium on Contingent Claims Analysis (Copenhagen Business School) Stanford University, and the University of Chicago. This paper is based on my thesis at the Norwegian School of Economics and Business Administration (Eraker (1997a) supervised by Dag Tjstheim and Gunnar Stensland. Their helpful suggestions are also greatly appreciated. I also thank the Norwegian Supercomputer Committee for a grant of computing time. APPENDIX A: PROOFS Proof of Proposition 2.1 From (7) we have that x j Y i Gamma1 ; Y i 1 ; has ....
Eraker, B. (1997). MCMC Analysis of Diffusion Models with Application to Finance. HAE Thesis, Norwegian School of Economics and Business Administration.
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