Sumários
Model specification and estimation strategies
21 Setembro 2026, 19:00 • Szabolcs Sebestyén
Markov Chain Monte Carlo Estimation of DAPMs
- Bayesian Inference
- MCMC: Methods and Theory
- Hammersley-Clifford theorem
- Gibbs Sampling
Model specification and estimation strategies
21 Setembro 2026, 17:30 • Szabolcs Sebestyén
Markov Chain Monte Carlo Estimation of DAPMs
- Bayesian Inference
Model specification and estimation strategies
14 Setembro 2026, 19:00 • Szabolcs Sebestyén
Limited Information: GMM Estimators
- Linear Projection as a GMM Estimator
- Quasi-Maximum Likelihood Estimation
- Application: Interest Rate Models
- GMM Estimation of Stochastic Discount Factors
Model specification and estimation strategies
14 Setembro 2026, 17:30 • Szabolcs Sebestyén
Full Information about Distributions: Maximum Likelihood
No Information about Distributions: Projections
Limited Information: GMM Estimators
- Unconditional Moment Restrictions
- Conditional Moment Restrictions
Introduction
7 Setembro 2026, 19:00 • Szabolcs Sebestyén
Model-Implied Restrictions
- Beta Representations of Excess Returns
- Linear Pricing Relations