Search Results - subject:"maximum likelihood estimation"

The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015197067

Importance sampling for option pricing with feedforward neural networks

Arandjelović, Aleksandar; Rheinländer, Thorsten; … - In: Finance and stochastics 29 (2025) 1, pp. 97-141

Persistent link: https://www.econbiz.de/10015394776

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025

The multivariate Vasicek model is commonly used to capture mean-reverting dynamics typical for short rates, asset price stochastic log-volatilities, etc. Reparametrizing the discretized problem as a VAR(1) model, the parameters are oftentimes estimated using the multivariate least squares (MLS)...

Persistent link: https://www.econbiz.de/10015338665

Simulated maximum likelihood estimation of the sequential search model

Chung, Jae Hyen; Chintagunta, Pradeep K.; Misra, Sanjog - 2025

Persistent link: https://www.econbiz.de/10015332998

Using an iterative procedure of maximum likelihood estimations to solve the newsvendor problem with censored demand

Clausen, Johan Bjerre Bach; Larsen, Christian - In: Omega : the international journal of management science 133 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015407279

Bias in Poisson Pseudo-Maximum Likelihood estimation of structural gravity models : how much of a problem for applied research?

Shepherd, Benjamin - In: Applied economics letters 32 (2025) 2, pp. 222-227

Persistent link: https://www.econbiz.de/10015195254

Asymptotic inference for a sign-double autoregressive (SDAR) model of order one

Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334

Persistent link: https://www.econbiz.de/10015196603

The half-logistic odd power generalized Weibull-G family of distributions

Peter, Peter O.; Chipepa, Fastel; Oluyede, Broderick; … - In: Central European journal of economic modelling and … 14 (2022) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10012878513

Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2022

Persistent link: https://www.econbiz.de/10013494365

A stochastic discrete choice dynamic programming model of power plant operations and retirement

Çam, Eren; Hinkel, Niklas; Schönfisch, Max - 2022

We present a methodology to estimate fixed cost parameters relevant to the decision to operate, mothballor retire an open-cycle gas turbine (OCGT) using a dynamic discrete choice model, based on fuel andelectricity prices, as well as technical data and the operational status of OCGTs in the PJM...

Persistent link: https://www.econbiz.de/10012820376