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Peralta-Alva, Adrian; Santos, Manuel - 2012

Persistent link: https://www.econbiz.de/10009681262

Peralta-Alva, Adrian; Santos, Manuel S. - In: Handbook of computational economics : volume 3, (pp. 517-556). 2014

convergence and accuracy properties of the simulated moments. We study both optimal and non-optimal economies. Optimal economies …

Persistent link: https://www.econbiz.de/10014025713

On Lasso-type estimation for dynamical systems with small noise

Iacus, Stefano Maria - 2010

Persistent link: https://www.econbiz.de/10011752306

Maximum likelihood estimation for generalized autoregressive score models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …

Persistent link: https://www.econbiz.de/10010250505

Maximum likelihood estimation in possibly misspecified dynamic models with time-inhomogeneous Markov regimes

Pouzo, Demian; Psaradakis, Zacharias G.; Sola, Martin - 2016

Persistent link: https://www.econbiz.de/10011610480

Maximum likelihood estimation for score-driven models

Blasques, Francisco; Brummelen, Janneke van; Koopman, … - In: Journal of econometrics 227 (2022) 2, pp. 325-346

Persistent link: https://www.econbiz.de/10013442028

Numerical methods for stochastic control problems in continuous time

Kushner, Harold J.; Dupuis, Paul - 2001 - Second edition

Persistent link: https://www.econbiz.de/10001498718

A computational method for stochastic impulse control problems

Feng, Haolin; Muthuraman, Kumar - In: Mathematics of operations research 35 (2010) 4, pp. 830-850

Persistent link: https://www.econbiz.de/10008823135

Optimal decision policy for real options under general Markovian dynamics

Cortazar, Gonzalo; Naranjo, Lorenzo; Sainz, Felipe - In: European journal of operational research : EJOR 288 (2021) 2, pp. 634-647

Persistent link: https://www.econbiz.de/10012439274

Pricing American option using a modified fractional black-scholes model under multi-state regime switching

Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21

Persistent link: https://www.econbiz.de/10014497295