Simulated Maximum Likelihood Estimation of Agent-Based Models in Economics and Finance

Network Theory and Agent-Based Modeling in Economics and Finance ◽

10.1007/978-981-13-8319-9_10 ◽

2019 ◽

pp. 203-226

Author(s):

Jiri Kukacka

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Agent Based Models ◽

Simulated Maximum Likelihood ◽

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Estimation of financial agent-based models with simulated maximum likelihood

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2017.09.006 ◽

2017 ◽

Vol 85 ◽

pp. 21-45 ◽

Author(s):

Jiri Kukacka ◽

Jozef Barunik

Keyword(s):

Maximum Likelihood ◽

Agent Based Models ◽

Simulated Maximum Likelihood ◽

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Advertising as a signaling device: Simulated maximum likelihood estimation of a multiple random effects count data model

Economics Letters ◽

10.1016/j.econlet.2008.08.017 ◽

2008 ◽

Vol 101 (3) ◽

pp. 227-229

Author(s):

Jörgen Hellström ◽

Niklas Rudholm

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Random Effects ◽

Likelihood Estimation ◽

Simulated Maximum Likelihood ◽

Count Data Model ◽

Signaling Device

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Testing the differences between the determinants of moody's and standard & poor's ratings an application of smooth simulated maximum likelihood estimation

Journal of Applied Econometrics ◽

10.1002/jae.3950080105 ◽

1993 ◽

Vol 8 (1) ◽

pp. 51-69 ◽

Author(s):

C.-G Moon ◽

J. G. Stotsky

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Simulated Maximum Likelihood

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Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

SSRN Electronic Journal ◽

10.2139/ssrn.2783663 ◽

2016 ◽

Author(s):

Jiri Kukacka ◽

Jozef Barunik

Keyword(s):

Maximum Likelihood ◽

Agent Based Models ◽

Simulated Maximum Likelihood ◽

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Fast Simulated Maximum Likelihood Estimation of the Spatial Probit Model Capable of Handling Large Samples

SSRN Electronic Journal ◽

10.2139/ssrn.1966039 ◽

2011 ◽

Author(s):

R. Kelley Pace ◽

James P. LeSage

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Probit Model ◽

Simulated Maximum Likelihood ◽

Large Samples ◽

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Simulated maximum likelihood estimation in joint models for multiple longitudinal markers and recurrent events of multiple types, in the presence of a terminal event

Journal of Applied Statistics ◽

10.1080/02664763.2016.1262336 ◽

2016 ◽

Vol 44 (15) ◽

pp. 2756-2777 ◽

Author(s):

M. H. Hof ◽

J. Z. Musoro ◽

R. B. Geskus ◽

G. H. Struijk ◽

I. J. M. ten Berge ◽

...

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Recurrent Events ◽

Likelihood Estimation ◽

Terminal Event ◽

Joint Models ◽

Simulated Maximum Likelihood

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Simulated maximum likelihood estimation of dynamic discrete choice statistical models some Monte Carlo results

Journal of Econometrics ◽

10.1016/s0304-4076(97)00014-6 ◽

1997 ◽

Vol 82 (1) ◽

pp. 1-35 ◽

Author(s):

Lung-Fei Lee

Keyword(s):

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Discrete Choice ◽

Statistical Models ◽

Likelihood Estimation ◽

Dynamic Discrete Choice ◽

Simulated Maximum Likelihood

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Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions

Quantitative Finance ◽

10.1080/14697688.2016.1185142 ◽

2016 ◽

Vol 16 (9) ◽

pp. 1393-1411 ◽

Author(s):

Yijie Peng ◽

Michael C. Fu ◽

Jian-Qiang Hu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Characteristic Functions ◽

Stochastic Volatility Models ◽

Simulated Maximum Likelihood ◽

Volatility Models ◽

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Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies

Journal of Econometrics ◽

10.1016/j.jeconom.2014.12.009 ◽

2015 ◽

Vol 187 (1) ◽

pp. 131-153 ◽

Author(s):

Donghoon Lee ◽

Kyungchul Song

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Simulated Maximum Likelihood

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A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD

Econometric Theory ◽

10.1017/s0266466604204054 ◽

2004 ◽

Vol 20 (04) ◽

Author(s):

Jean-David Fermanian ◽

Bernard Salanié

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Estimation Method ◽

Likelihood Estimation ◽

Simulated Maximum Likelihood ◽

Maximum Likelihood Estimation Method

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