Similar Search Results - EconBiz

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - 2001

Persistent link: https://www.econbiz.de/10001606888

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002011289

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

Santa-Clara, Pedro; Brandt, Michael W. - 2021

We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...

Persistent link: https://www.econbiz.de/10013235636

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210

Persistent link: https://www.econbiz.de/10001636757

Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think

Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2000

Persistent link: https://www.econbiz.de/10001477772

High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models

Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2001

Persistent link: https://www.econbiz.de/10001561834

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - 2003

Persistent link: https://www.econbiz.de/10001756564

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001785523

Range-based estimation of stochastic volatility models

Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1047-1091

Persistent link: https://www.econbiz.de/10001684742

High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models

Alizadeh, Sassan; Brandt, Michael W.; Kadlec, Gregory B.; … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002001001

A service of the