Simulation Based Estimation in Financial Econometrics
This session will focus on simulation based estimation, prediction
and testing in financial econometrics. The financial applications of
interest for this session include
- Time varying volatility
- Estimation of continuous time models with discrete data
- Portfolio management and covariance matrix estimation
- Empirical option pricing
- Term structure
- Model error
and empirical asset pricing in general. Possible techniques include but are
not limited to Bayesian Econometrics and Markov Chain Monte Carlo (MCMC)
estimation, indirect inference or EMM, ...
If you have a paper appropriate for this session, please send a
hard copy by US mail, or a two page abstract before
January 15, 1999 to the following address.
Eric Jacquier
Carroll School of Management
Finance Dept.,
Fulton Hall 330
Boston College
Chestnut Hill, MA 02467 USA
Feel free to address questions on this session to
Eric Jacquier.