FourniƩ, Eric - In: Mathematics and Computers in Simulation (MATCOM) 38 (1995) 1, pp. 143-150
We present some methods for the estimation and testing of usual ergodic interest rate models based on the observation of the short interest rate on the monetary market. First, we develop a test of type Kolmogorov-Smirnov for ergodic diffusion processes. We extend the results to the case where...