Browsing by Subject "Monte Carlo"

Now showing items 1-3 of 3

    • Estimating ARMA models efficiently 
      Chumacero Escudero, Rómulo (The MIT Press, 2001)
      This paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, when applied to estimating stationary ARMA models. Issues such as identification, model selection, ...
    • Finite sample properties of the efficient method of moments 
      Chumacero Escudero, Rómulo (De Gruyter, 1997)
      Gallant and Tauchen (1996) describe an estimation technique, known as Efficient Method of Moments (EMM), that uses numerical methods to estimate parameters of a structural model. The technique uses as matching conditions ...
    • A Technical Note, Looback Options: a comparison between Monte Carlo Techniques 
      González Araya, Marcelo; Parisi Fernández, Antonino; Rodríguez P., Arturo (Universidad de Chile. Facultad de Economía y Negocios, 2007)
      Looback options are path dependent contingent claims whose payoffs depend on the extrema of the underlying asset price over a certain time interval. In this note we compare the performance of two Monte Carlo techniques ...