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| Tekijä: | Brandt, M.W. Santa-Clara, P. |
| Otsikko: | Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets |
| Lehti: | Journal of Financial Economics
2002 : FEB, VOL. 63:2, p. 161-210 |
| Asiasana: | DIFFUSION EXCHANGE RATES INCOMPLETE MARKETS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA