Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

A-Tier

Journal: Journal of Financial Economics

Year: 2002

Volume: 63

Issue: 2

Pages: 161-210

Authors (2)

Brandt, Michael W. (not in RePEc) Santa-Clara, Pedro (Universidade Nova de Lisboa)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count