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- W2092248453 abstract "This paper outlines a general methodology for estimating the parameters of financial models commonly employed in the literature. A numerical Bayesian technique is utilised to obtain the posterior density of model parameters and functions thereof. Unlike maximum likelihood estimation, where inference is only justified in large samples, the Bayesian densities are exact for any sample size. A series of simulation studies are conducted to compare the properties of point estimates, the distribution of option and bond prices, and the power of specification tests under maximum likelihood and Bayesian methods. Results suggest that maximum-likelihood-based asymptotic distributions have poor finite-sample properties." @default.
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- W2092248453 title "Bayesian Estimation of Financial Models" @default.
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