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Market volatility and momentum

Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91

Persistent link: https://www.econbiz.de/10011489219

Estimating portfolio and consumption choice : a conditional Euler equations approach

Brandt, Michael W. - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1609-1645

Persistent link: https://www.econbiz.de/10001430862

Price discovery in the U.S. treasury market : the impact of orderflow and liquidity on the yield curve

Brandt, Michael W.; Kavajecz, Kenneth A. - 2003

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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 - 2001

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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

Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - 2004

Persistent link: https://www.econbiz.de/10002499370

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

Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447

Persistent link: https://www.econbiz.de/10003885704

Economic cycles and expected stock returns

Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - 2013

Persistent link: https://www.econbiz.de/10009784726

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

Brandt, Michael W. - 2001

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/10012470313