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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

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

Volatility, estimates of the short-term interest rate with an application to German data

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Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models

Boscher, Hans; Fronk, Eva-Maria; Pigeot, Iris - In: Statistical papers 41 (2000) 4, pp. 409-422

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Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

Persistent link: https://www.econbiz.de/10000997987

Geldpolitik und Volatilitäten auf Finanzmärkten

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Nonlinear error correction modeling in German interest rates

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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

Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model

Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148

Persistent link: https://www.econbiz.de/10013286403

Brokers and business cycles: does financial market volatility cause real fluctuations?

Döpke, Jörg - 1998

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