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A Nonparametric Simulated Maximum Likelihood Estimation Method


  • Jean-David Fermanian


  • Bernard Salanié



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Suggested Citation

  • Jean-David Fermanian & Bernard Salanié, 2001. "A Nonparametric Simulated Maximum Likelihood Estimation Method," Working Papers 2001-13, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2001-13

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    References listed on IDEAS

    1. Chakravarty, Sugato & Sarkar, Asani, 2002. "A model of broker's trading, with applications to order flow internalization," Review of Financial Economics, Elsevier, vol. 11(1), pages 19-36.
    2. Sofianos, George & Werner, Ingrid M., 2000. "The trades of NYSE floor brokers," Journal of Financial Markets, Elsevier, vol. 3(2), pages 139-176, May.
    3. Erik Theissen, 2002. "Floor versus Screen Trading: Evidence from the German Stock Market," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 158(1), pages 1-32, March.
    4. Madhavan, Ananth, 1996. "Security Prices and Market Transparency," Journal of Financial Intermediation, Elsevier, vol. 5(3), pages 255-283, July.
    5. Bhattacharya, Sudipto & Pfleiderer, Paul, 1985. "Delegated portfolio management," Journal of Economic Theory, Elsevier, vol. 36(1), pages 1-25, June.
    6. Roland Benabou & Guy Laroque, 1992. "Using Privileged Information to Manipulate Markets: Insiders, Gurus, and Credibility," The Quarterly Journal of Economics, Oxford University Press, vol. 107(3), pages 921-958.
    7. Fishman, Michael J & Longstaff, Francis A, 1992. " Dual Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 643-671, June.
    8. Paul Kofman & James Moser, 1997. "Spreads, information flows and transparency across trading systems," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 281-294.
    9. Fishman M. J. & Hagerty K. M., 1995. "The Incentive to Sell Financial Market Information," Journal of Financial Intermediation, Elsevier, vol. 4(2), pages 95-115, April.
    10. Vives Xavier, 1995. "The Speed of Information Revelation in a Financial Market Mechanism," Journal of Economic Theory, Elsevier, vol. 67(1), pages 178-204, October.
    11. Allen, Franklin, 1990. "The market for information and the origin of financial intermediation," Journal of Financial Intermediation, Elsevier, vol. 1(1), pages 3-30, March.
    12. Sarkar Asani, 1995. "Dual Trading: Winners, Losers, and Market Impact," Journal of Financial Intermediation, Elsevier, vol. 4(1), pages 77-93, January.
    13. Admati, Anat R & Pfleiderer, Paul, 1988. "Selling and Trading on Information in Financial Markets," American Economic Review, American Economic Association, vol. 78(2), pages 96-103, May.
    14. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    15. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 1998. "Information flows and open outcry: evidence of imitation trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 101-116, June.
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    Cited by:

    1. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.

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