Simulated Likelihood Estimation of Non-Linear Diffusion Processes Through Non-Parametric Procedure With an Application to the Portuguese Interest Rate

In this article we present a new model of the spot interest rate and a new method of estimation of nonlinear stochastic differential equations. We show how an integrated discrete time process in an econometric sense can be modelled by a continuous time ergodic process. We make an application to the Portuguese spot interest rate.

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Year of publication:	1999
Authors:	Nicolau, João
Institutions:	Banco de Portugal

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008524110