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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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    7. Singleton, Kenneth J., 2001. "Estimation of affine asset pricing models using the empirical characteristic function," Journal of Econometrics, Elsevier, vol. 102(1), pages 111-141, May.
    8. Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management qt1jw137zd, Anderson Graduate School of Management, UCLA.
    9. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
    10. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-77.
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    17. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
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    21. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
    22. Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
    23. Hsieh, David A., 1984. "Tests of rational expectations and no risk premium in forward exchange markets," Journal of International Economics, Elsevier, vol. 17(1-2), pages 173-184, August.
    24. Andrew W. Lo, . "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
    25. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
    26. Bally, Vlad & Talay, Denis, 1995. "The Euler scheme for stochastic differential equations: error analysis with Malliavin calculus," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 35-41.
    27. Gibbons, Michael R & Ramaswamy, Krishna, 1993. "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 619-58.
    28. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
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    36. 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.
    37. Ogawa, Shigeyoshi, 1995. "Some problems in the simulation of nonlinear diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 217-223.
    38. Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406.
    39. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
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