Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Michael W. Brandt; Pedro Santa-Clara
| Year of publication: |
2002
|
|---|---|
| Authors: | Brandt, Michael W. ; Santa-Clara, Pedro |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 63.2002, 2, p. 161-210
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| Subject: | Schätztheorie | Estimation theory | Theorie | Theory | Schätzung | Estimation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Wechselkurs | Exchange rate | Zins | Interest rate | Volatilität | Volatility | Unvollkommener Markt | Incomplete market | Stochastischer Prozess | Stochastic process | USA | United States | Deutschland | Germany | Großbritannien | United Kingdom |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of financial economics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001636757