Narrow search
Showing 1 - 10 of 664,087
Cover Image
Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
Cover Image
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
Cover Image
Minimax rates for nonparametric estimation of the drift functional in affine stochastic delay equations
Reiss, Markus - 2000
Persistent link: https://www.econbiz.de/10001528173
Cover Image
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael - In: Handbook of financial time series, (pp. 531-553). 2009
Persistent link: https://www.econbiz.de/10003834179
Cover Image
Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
Cover Image
Second-order stochastic differential equation model as an alternative for the ALT and CALT models
Oud, J. H. L. - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 2, pp. 203-215
Persistent link: https://www.econbiz.de/10003980453
Cover Image
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
Cover Image
Minimax rates for nonparametric estimation of the drift functional in affine stochastic delay equations
Reiß, Markus - 2000
Persistent link: https://www.econbiz.de/10009612046
Cover Image
On guaranteed parameter estimation of stochastic differential equations with time delay by noisy observations
Küchler, Uwe; Vasiliev, Vjatscheslav A. - 2001
Persistent link: https://www.econbiz.de/10009612560
Cover Image
Estimation for stochastic differential equations with a small diffusion coefficient
Gloter, Arnaud (contributor); Sørensen, Michael (contributor) - 2005
Persistent link: https://www.econbiz.de/10003221210