Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Michael W. Brandt, Pedro Santa-Clara

Open source

DOI: 10.1016/s0304-405x(01)00093-9
Published: 2002-02
Container: Journal of Financial Economics
Publisher: Elsevier BV
Open access: unknown

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Cite this work

BibTeX

@article{allodium:10.1016/s0304-405x-01-00093-9,
  title = {Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets},
  author = {Michael W. Brandt and Pedro Santa-Clara},
  year = {2002},
  journal = {Journal of Financial Economics},
  doi = {10.1016/s0304-405x(01)00093-9},
  url = {https://doi.org/10.1016/s0304-405x(01)00093-9}
}

RIS

TY  - JOUR
TI  - Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
AU  - Michael W. Brandt
AU  - Pedro Santa-Clara
PY  - 2002
JO  - Journal of Financial Economics
DO  - 10.1016/s0304-405x(01)00093-9
UR  - https://doi.org/10.1016/s0304-405x(01)00093-9
ER  -

APA

Brandt, M. W., & Santa-Clara, P. (2002). Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(01)00093-9

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crossref · retrieved 2026-11-11T01:15:10.091Z