Optimal Investment with Taxes : An Optimal Control Problem with Endogenous Delay
Download full text from publisher
References listed on IDEAS
- BAUWENS, Luc & VEREDAS, David, 1999.
"The stochastic conditional duration model: a latent factor model for the analysis of financial durations,"
CORE Discussion Papers
1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository 2013/136234, ULB -- Universite Libre de Bruxelles.
- Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 385-424.
- Dionne, G. & Vanasse, C., 1988.
"A Generalization Of Automobile Insurance Rating Models: The Negative Binomial Distribution With A Regression Component,"
Cahiers de recherche
8833, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dionne, G. & Vanasse, C., 1988. "A Generalization of Automobile Insurance Rating Models: the Negative Binomial Distribution with a Regression Component," Cahiers de recherche 8833, Universite de Montreal, Departement de sciences economiques.
- Duffie, Darrell & Singleton, Kenneth J, 1993.
"Simulated Moments Estimation of Markov Models of Asset Prices,"
Econometric Society, vol. 61(4), pages 929-952, July.
- Darrell Duffie & Kenneth J. Singleton, 1990. "Simulated Moments Estimation of Markov Models of Asset Prices," NBER Technical Working Papers 0087, National Bureau of Economic Research, Inc.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc.
- Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
- Monica Billio & Alain Monfort & Christian P, Robert, 1998. "The Simulated Likelihood Ratio (SLR) Method," Working Papers 98-21, Center for Research in Economics and Statistics.
- McFadden, Daniel, 1989.
"A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration,"
Econometric Society, vol. 57(5), pages 995-1026, September.
- Daniel McFadden, 1987. "A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration," Working papers 464, Massachusetts Institute of Technology (MIT), Department of Economics.
- repec:dau:papers:123456789/5478 is not listed on IDEAS
- Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jouini, Elyes & Koehl, Pierre-F. & Touzi, Nizar, 2000.
"Optimal investment with taxes: an existence result,"
Journal of Mathematical Economics,
Elsevier, vol. 33(4), pages 373-388, May.
- Elyès Jouini & Pierre-Francois Koehl & Nizar Touzi, 1999. "Optimal Investment with Taxes: An Existence Result," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-037, New York University, Leonard N. Stern School of Business-.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:97-44. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sri Srikandan). General contact details of provider: http://edirc.repec.org/data/crestfr.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.