Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
收藏NBER2001-08-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0274
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资源简介：
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new continuous
提供机构：
美国国家经济研究局
创建时间：
2001-08-01
