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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
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-44JHXXC-1/2/62f5c3f70dd14b7df4fd3f0d070ee27c
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 63 (2002)
    Issue (Month): 2 (February)
    Pages: 161-210

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    Handle: RePEc:eee:jfinec:v:63:y:2002:i:2:p:161-210
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    22. David K. Backus, 2001. "Affine Term Structure Models and the Forward Premium Anomaly," Journal of Finance, American Finance Association, vol. 56(1), pages 279-304, 02.
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    29. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
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    40. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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