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dc.contributor.authorDominicy, Yves
dc.contributor.authorVeredas, David
dc.date.accessioned2017-12-02T14:53:16Z
dc.date.available2017-12-02T14:53:16Z
dc.date.issued2013
dc.identifier.doi10.1016/j.jeconom.2012.08.010
dc.identifier.urihttp://hdl.handle.net/20.500.12127/5221
dc.description.abstractWe introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is useful for situations where the density function does not have a closed form and/or moments do not exist. Functions of theoretical quantiles, which depend on the parameters of the assumed probability law, are matched with the sample counterparts, which depend on the observations. Since the theoretical quantiles may not be available analytically, the optimization is based on simulations. We illustrate the method with the estimation of -stable distributions. A thorough Monte Carlo study and an illustration to 22 financial indexes show the usefulness of MSQ.
dc.language.isoen
dc.subjectAccounting & Finance
dc.subjectQuantiles
dc.subjectSimulation
dc.subjectMatching
dc.subjectInference
dc.titleThe method of simulated quantiles
dcterms.abstractWe introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is useful for situations where the density function does not have a closed form and/or moments do not exist. Functions of theoretical quantiles, which depend on the parameters of the assumed probability law, are matched with the sample counterparts, which depend on the observations. Since the theoretical quantiles may not be available analytically, the optimization is based on simulations. We illustrate the method with the estimation of -stable distributions. A thorough Monte Carlo study and an illustration to 22 financial indexes show the usefulness of MSQ.
dc.identifier.journalJournal of Econometrics
dc.source.volume172
dc.source.issue2
dc.source.beginpage235
dc.source.endpage247
vlerick.knowledgedomainAccounting & Finance
vlerick.typearticleJournal article with impact factor
dc.identifier.vperid192002
dc.identifier.vperid181874
dc.identifier.vpubid6470
vlerick.publicationvalue.BB


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