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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/10005948160
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X. - In: The journal of business : B 79 (2006) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10006010639
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Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
Brandt, Michael W.; Kavajecz, Kenneth A. - In: The journal of finance : the journal of the American … 59 (2004) 6, pp. 2623-2654
Persistent link: https://www.econbiz.de/10006548889
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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. 1047-1092
Persistent link: https://www.econbiz.de/10006559609
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ARTICLES - Variable Selection for Portfolio Choice
Ait-Sahalia, Yacine; Brandt, Michael W. - In: The journal of finance : the journal of the American … 56 (2001) 4, pp. 1297-1350
Persistent link: https://www.econbiz.de/10006563789
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ARTICLES - Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach
Brandt, Michael W. - In: The journal of finance : the journal of the American … 54 (1999) 5
Persistent link: https://www.econbiz.de/10006573211
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Equilibrium stock return dynamics under alternative rules of learning about hidden states
Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954
Persistent link: https://www.econbiz.de/10006756731
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On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach
Brandt, Michael W.; Kang, Qiang - In: Journal of financial economics 72 (2004) 2, pp. 217-258
Persistent link: https://www.econbiz.de/10006504609
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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/10006510507
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The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?
Brandt, Michael W.; Brav, Alon; Graham, John R.; Kumar, Alok - In: The review of financial studies 23 (2010) 2, pp. 863-863
Persistent link: https://www.econbiz.de/10008370233