Similar Search Results

Inference using simulated neural moments

Creel, Michael D. - In: Econometrics : open access journal 9 (2021) 4, pp. 1-15

This paper studies method of simulated moments (MSM) estimators that are implemented using Bayesian methods, specifically Markov chain Monte Carlo (MCMC). Motivation and theory for the methods is provided by Chernozhukov and Hong (2003). The paper shows, experimentally, that confidence intervals...

Persistent link: https://www.econbiz.de/10012642418

ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models

Creel, Michael D.; Kristensen, Dennis - 2014

Persistent link: https://www.econbiz.de/10010401691

ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models

Creel, Michael D.; Kristensen, Dennis - In: Journal of empirical finance 31 (2015), pp. 85-108

Persistent link: https://www.econbiz.de/10011489408

Constructing efficient simulated moments using temporal convolutional networks

Chassot, Jonathan; Creel, Michael D. - 2023

Persistent link: https://www.econbiz.de/10014445299