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 :
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