Open AccessSimulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Author(s) -
Pedro Santa-Clara,
Michael W. Brandt
Publication year - 2001
Language(s) - English
Resource type - Reports
DOI - 10.3386/t0274
Subject(s) - estimator , exchange rate , econometrics , estimation , financial market , maximum likelihood , diffusion , dynamics (music) , diffusion process , economics , computer science , mathematics , statistics , finance , management , physics , economy , acoustics , thermodynamics , service (business)