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
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;
Conference_Titel :
Computer Science and Software Engineering, 2008 International Conference on
Conference_Location :
Wuhan, Hubei
Print_ISBN :
978-0-7695-3336-0
DOI :
10.1109/CSSE.2008.1611