Narrow search
Showing 1 - 10 of 969,593
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
How to maximize the likelihood function for a DSGE model
Andreasen, Martin Møller - In: Computational economics 35 (2010) 2, pp. 127-154
Persistent link: https://www.econbiz.de/10003947913
Cover Image
Essays in the econometrics of dynamic duration models with application to tick by tick financial data
Galli, Fausto - 2009
Persistent link: https://www.econbiz.de/10003986565
Cover Image
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344233
Cover Image
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - In: Annals of financial economics 10 (2015) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011408524
Cover Image
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
Cover Image
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
Cover Image
Reducible diffusions with time-varying transformations with application to short-term interest rates
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Economic modelling 52 (2016), pp. 266-277
Persistent link: https://www.econbiz.de/10011645653