Simulated Moments Estimation of Markov Models of Asset Prices

1 July 1993

journal article
Published by JSTOR in Econometrica

Vol. 61 (4) , 929
https://doi.org/10.2307/2951768

Abstract

This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process....

Keywords

MOMENTS ESTIMATION
PRICES
SME
HOMOGENEOUS
ASSET
MARKOV MODELS
ESTIMATION OF MARKOV
SIMULATED

All Related Versions

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