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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

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

Local parametric analysis of derivatives pricing and hedging

Bossaerts, Peter L.; Hillion, Pierre Henri - In: Journal of financial markets 6 (2003) 4, pp. 573-605

Persistent link: https://www.econbiz.de/10001780139

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

Local parametric analysis of derivatives pricing and hedging

Bossaerts, Peter L.; Hillion, Pierre Henri - 1997

Persistent link: https://www.econbiz.de/10000980780

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