expansion methods for multivariate distributions, which can also be used to approximate conditional expectations and copula …

conditional expectations and the conditional variances and covariances. The results are of basic interest for several applications …

conditional expectations instead of approximating a model's complex non-linear dynamics. For a benchmark real business cycle model …

conditional expectations of the variable of interest and, consequently, to use QML estimation. In other words, we bridge the gap … space and stochastic volatility (or SV) models. The first approach is appealing because it allows to compute conditional … expectations (e.g., for forecasting purpose) and to use the Quasi Maximum Likelihood (QML) type of estimation. However, its main …

, we investigate the use of Malliavin calculus to compute conditional expectations. The integration by part formula …