Application of maximum likelihood estimation to stochastic short rate models
Year of publication: |
2015
|
---|---|
Authors: | Fergusson, Kevin ; Platen, Eckhard |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 10.2015, 2, p. 1-26
|
Subject: | Stochastic short rate | maximum likelihood estimation | Vasicek model | Cox-Ingersoll-Ross model | 3/2 model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zins | Interest rate |
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