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An evaluation of MLE in a model of the nonlinear continuous-time short-term interest rate
Lo, Ingrid - 2005
Persistent link: https://www.econbiz.de/10003247083
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Maximum likelihood estimation of continuous-time diffusion models for exchange rates
Choi, Seungmoon; Lee, Jaebum - In: East Asian economic review 24 (2020) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10012225756
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A bivariate ordered probit estimator with mixed effects
Buscha, Franz; Conte, Anna - 2010
In this paper, we discuss the derivation and application of a bivariate ordered probit model with mixed effects. Our approach allows one to estimate the distribution of the effect (gamma) of an endogenous ordered variable on an ordered explanatory variable. By allowing gamma to vary over the...
Persistent link: https://www.econbiz.de/10003924208
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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
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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
Persistent link: https://www.econbiz.de/10001606888
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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
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Quantification of qualitative survey data and tests of consistent expectations: a new likelihood approach
Dahl, Christian M.; Xia, Lin - In: Journal of business cycle measurement and analysis : a … 1 (2004) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10002051031
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Local public expenditure with piecewise-linear nonconvex budget constraints
Revelli, Federico - In: Environment & planning / C : international journal of … 17 (1999) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10001454267
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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