Simulated Likelihood Estimation of Multivariate Di usions with an Application to Interest Rates and Exchange Rates with Stochastic Volatility

This paper and an earlier version entitled \Simulated Likelihood Estimation of Di usions with an Application to the Short Term Interest Rate" have bene tted from helpful conversations with Jo~ao Amaro de Matos, Lars Peter Hansen, Lars Nielsen, Jes us Sa a-Requejo, and Jos e Scheinkman, as well as seminar participants at Carnegie-Mellon University, London Business School, Northwestern University, Ohio State University, UCLA, University of Michigan, University of Pennsylvania, and the University of Rochester. We are responsible for any remaining errors.