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Simulated Moments Estimation of Markov Models of Asset Prices
Abstract
This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset pricing model.
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Citations
Cited by
ARCH models as diffusion approximations
Nelson, D. B. (1990) · Journal of Econometrics · doi:10.1016/0304-4076(90)90092-8 · Cited by 938
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily
Uhlig, H. (2001) · Computational Methods for the Study of Dynamic Economies · doi:10.1093/0199248273.003.0003 · Cited by 523
Adda, J., Dustmann, C., & Stevens, K. (2017) · Journal of Political Economy · doi:10.1086/690952 · Cited by 467
Dynamic Models and Structural Estimation in Corporate Finance
Strebulaev, I. A. (2011) · Foundations and Trends® in Finance · doi:10.1561/0500000035 · Cited by 259
Metadata
- Authors
- Duffie, D., & Singleton, K. J.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1993-07
- Volume
- 61
- Issue
- 4
- Pages
- 929
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2158488639
- Cited by
- 690
- References
- 0
- FWCI
- 43.60
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Simulated Moments Estimation of Markov Models of Asset Prices. https://app.cochat.ai/papers/10.2307/2951768
- The paper
- Duffie, D., & Singleton, K. J. (1993). Simulated Moments Estimation of Markov Models of Asset Prices. Econometrica. https://doi.org/10.2307/2951768
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
