Similar Search Results - EconBiz

Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates

Cserna, Balázs - 2008

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...

Persistent link: https://www.econbiz.de/10011422171

Unbiased estimation with square root convergence for SDE models

Rhee, Chang-Han; Glynn, Peter W. - In: Operations research 63 (2015) 5, pp. 1026-1043

Persistent link: https://www.econbiz.de/10011397797

Kernel convergence estimates for diffusions with continuous coefficients

Albanese, Claudio - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 979-1004

Persistent link: https://www.econbiz.de/10009407684

Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates

Cserna, Balázs - 2008

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...

Persistent link: https://www.econbiz.de/10003747325

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - In: Annals of finance 9 (2013) 2, pp. 217-248

Persistent link: https://www.econbiz.de/10009741196

Kolmogorov backward equations with singular diffusion matrices

Singer, Hermann - 2019

Persistent link: https://www.econbiz.de/10012149431

A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)

Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22

Persistent link: https://www.econbiz.de/10011778269

Specification tests for univariate diffusions

Hurn, Stan; Martin, Vance; Xu, Lina - In: Econometric reviews 41 (2022) 6, pp. 607-632

Persistent link: https://www.econbiz.de/10013364897

Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10013489500

A comparative study of likelihood approximations for univariate diffusions

Hurn, Stan; Lindsay, Kenneth A.; Xu, Lina - In: Journal of financial econometrics 21 (2023) 3, pp. 852-879

Persistent link: https://www.econbiz.de/10014314834

A service of the