This paper uses ML and GMM techniques to estimate systems of stochastic differential equations that describe the behavior of stock returns. We test restrictions implied by a continuous time asset pricing model that builds on the work of Chamberlain (1998). The stochastic differential equations...

This paper represents the first attempt to estimate an explicit, structural model of credit rationing that simultaneously explains both bank and consumer behavior. Cheating by a small number of individual loan applicants induces banks to grant credit to only a proportion of observationally...

Recent research on contingent claims valuation has assumed increasingly general models of the behavior of cash securities. Relatively few attempts have been made to implement and evaluate such models empirically, however. In this paper we apply a multi-factor, continuous time pricing model to...