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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.; 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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Range-based estimation of stochastic volatility models
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1047-1091
Persistent link: https://www.econbiz.de/10001684742
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High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2001
Persistent link: https://www.econbiz.de/10001561834
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Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2000
Persistent link: https://www.econbiz.de/10001477772
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High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan; Brandt, Michael W.; Kadlec, Gregory B.; … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002001001
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High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan; Brandt, Michael W.; Kadlec, Gregory B.; … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002004134
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International risk sharing is better than you think : (or exchange rates are much too smooth)
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2001
Persistent link: https://www.econbiz.de/10001599163
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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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International risk sharing is better than you think, or exchange rates are too smooth
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - In: Journal of monetary economics 53 (2006) 4, pp. 671-698
Persistent link: https://www.econbiz.de/10003333393