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Unit roots and long-run causality : investigating the relationship between output, money and interest rates
Caporale, Guglielmo Maria - In: Economic modelling 15 (1998) 1, pp. 91-112
Persistent link: https://www.econbiz.de/10001247848
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Interest rates, banking spreads and credit supply : the real effects
Barrán Cabrera, Fernando; Coudert, Virginie; Mojon, Benoît - 1995
Persistent link: https://www.econbiz.de/10000908355
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MLE is alive and well in the financial markets
Ramamurtie, Buddhavarapu Sailesh; Ulman, Scott - 1996
Persistent link: https://www.econbiz.de/10000983755
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International interest rate mechanisms in bank lending and borrowing markets
Chatrath, Arjun - In: The global structure of financial markets : an overview, (pp. 274-286). 1997
Persistent link: https://www.econbiz.de/10001297696
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Processus de diffusion et biais de discrétisation : une analyse empirique par inférence indirecte appliquée aux taux d'intérêt
De Winne, Rudy - In: Finance : revue de l'Association Française de Finance 19 (1998) 1, pp. 41-58
Persistent link: https://www.econbiz.de/10001398790
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On the real effects of the monetary sphere : post-Keynesian theory and empirical evidence on interest rates, income shares, and investment
Hein, Eckhard; Ochsen, Carsten - 1999
Persistent link: https://www.econbiz.de/10001378475
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Interactions between Business Cycles, Stock Market Cycles and Interest Rates : The Stylised Facts
Avouyi-Dovi, Sanvi - 2010
cycle in France, Germany, Italy, the United Kingdom and the United States, using two complementary approaches in our …
Persistent link: https://www.econbiz.de/10013136227
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Regime Switches in Interest Rates
Bekaert, Geert - 2008
econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …
Persistent link: https://www.econbiz.de/10012774902
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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
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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