search query: @author Brandt, M.W. / total: 5
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| Author: | Brandt, M.W. Santa-Clara, P. |
| Title: | Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets |
| Journal: | Journal of Financial Economics
2002 : FEB, VOL. 63:2, p. 161-210 |
| Index terms: | DIFFUSION EXCHANGE RATES INCOMPLETE MARKETS |
| Language: | eng |
| Abstract: | The authors 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. The authors use this method to estimate a new continuous-time model of the joint dynamics of interest rates in two countries and the exchange rate between the two currencies. |
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