Artigos aceitos - 13º Encontro Brasileiro de Finanças - 2013

Artigos aceitos - 13º Encontro Brasileiro de Finanças - 2013

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Meu artigo "Generalized Moment Estimation of Stochastic Differential Equations", escrito em co-autoria com Luiz Hotta foi aceito na área de Econometria e Métodos Numéricos em Finanças.


Abstract:

We study the semiparametric estimation of stochastic differential equations employing methods based on moment conditions, comparing the finite sample and robustness properties of generalized method of moments, empirical likelihood and minimum contrast methods using unconditional and conditional formulations of moment conditions. The results obtained demonstrate that the estimators proposed, particularly, the estimators based on exponential tilting, obtain better results than those of the generalized methods of moments normally used to estimate stochastic differential equations. This conclusion is mainly derived from the robustness properties of this method in the presence of problems of incorrect specification.

Keywords: Stochastic Differential Equations, Moment Conditions, Empirical Likelihood, Generalized

Minimum Contrast.