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Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - In: Annals of financial economics 10 (2015) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011408524
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Reducible diffusions with time-varying transformations with application to short-term interest rates
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Economic modelling 52 (2016), pp. 266-277
Persistent link: https://www.econbiz.de/10011645653
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Equilibrium interest rate models for the Indian Government security market
Chaudhuri, Sunrita; Pandey, Alok - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 70-86
Persistent link: https://www.econbiz.de/10015064463
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Quasi-maximum likelihood estimates of Kiwi short-term interest rate
Sirimon Treepongkaruna - In: Applied economics letters 10 (2003) 15, pp. 937-942
Persistent link: https://www.econbiz.de/10001876624
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210
Persistent link: https://www.econbiz.de/10001636757
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - 2001
Persistent link: https://www.econbiz.de/10001606888
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002011289
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Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Santa-Clara, Pedro; Brandt, Michael W. - 2021
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...
Persistent link: https://www.econbiz.de/10013235636
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Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Brandt, Michael W. - 2001
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...
Persistent link: https://www.econbiz.de/10012470313
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Pitfalls in the estimation of continuous time interest rate models : the case of the CIR model
Gouriéroux, Christian; Monfort, Alain - In: Annals of economics and statistics 109/110 (2013), pp. 25-61
Persistent link: https://www.econbiz.de/10009779723