Simulated Score Methods and Indirect Inference for Continuous-time Models

By A. Gallant, George Tauchen. 2002

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Simulation-Based Method of Moments and Efficiency (2002, background): “Most of the arguments follow from Gallant and Tauchen (2001, 2002).”
Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, methodology): “roximation using Bayesian data augmentation (Roberts and Stramer, 2001; Elerian et al., 2001; Eraker, 2001; Jones, 1998), estimating functions (Bibby et al., 2004), up to the eﬃcient method of moment Gallant and Tauchen (2009). Only few of them make use of the properties of aﬃne models, however (e.g”
CHAPTER 4 – Estimating Functions for Discretely Sampled Diffusion-Type Models (2010, methodology): “Another useful approach to inference for general diffusion-type models is indirect inference, see Gallant & Tauchen (1996) and Gallant & Tauchen (2003).”
Empirical option pricing: a retrospection (2003, methodology): “Examples include the Bayesian Monte Carlo Markov Chain approach of Jaquier, Polson and Rossi (1994), and Gallant and Tauchen’s EMM/SNP approach.(7) The latter approach derives moment conditions from a particular auxiliary time series model that captures discrete-time data properties, uses Simulated ”