An indirect inference method is implemented for a class of stochastic volatility models for financial data based on non … representation of the OU model. Next, data are simulated from the OU model for given parameter values. The indirect inference … reveals that the quasi-likelihood estimator may have a large bias even in large samples, but that the indirect inference …

The asymptotic efficiency of the indirect estimation methods, such as the efficient method of moments and indirect … inference, depends on the choice of the auxiliary model. Up to date, this choice is somehow ad hoc and based on an educated …

economy RBC model and testing it by method of indirect inference shows that RER can be reproduced by RBC framework. The …

made consistent using the basic idea of indirect inference. The need of a robust estimator for these models is motivated by …

indirect inference approach could prove useful to overcome these estimation difficulties. In this paper we provide a … description of how to implement such a method by using a skew-t distribution as an auxiliary model. The indirect inference …

estimation framework used is known as the extit[indirect inference] methodology. The auxiliary model is chosen as a finite order …