DocumentCode
480109
Title
Simulation Testing of Three Approaches in Estimating Unknown Parameters of Structure Models
Author
Lin, Hai ; Chen, Xiaoping
Author_Institution
Dept. of Finance & WISE, Xiamen Univ., Xiamen
Volume
4
fYear
2008
fDate
12-14 Dec. 2008
Firstpage
142
Lastpage
145
Abstract
This paper examines the performance of three different approaches in estimating the firm parameters of structure models by simulation, including the simultaneous equation system approach, maximum likelihood estimation approach and the iteration approach. The simulation results show that iteration approach has smaller estimation errors than the other two approaches and thus performs the best.
Keywords
financial management; iterative methods; maximum likelihood estimation; parameter estimation; equation system approach; error estimation; iteration approach; maximum likelihood estimation approach; parameter estimation; simulation testing; Computational modeling; Computer science; Equations; Finance; Maximum likelihood estimation; Parameter estimation; Pricing; Security; Software engineering; Testing; credit risk; iteration; simulation; structure model;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer Science and Software Engineering, 2008 International Conference on
Conference_Location
Wuhan, Hubei
Print_ISBN
978-0-7695-3336-0
Type
conf
DOI
10.1109/CSSE.2008.1611
Filename
4722583
Link To Document