Add to ORKGThis paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to U.S. and British interest rates is given
M.Sc. (Mathematical Statistics)Stochastic Differential Equations (SDE’s) are commonly found in most ...
M.Sc. (Mathematical Statistics)Stochastic Differential Equations (SDE’s) are commonly found in most ...
Recently, financial engineering has brought a significant number of interest rate derivative product...
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term inte...
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term inte...
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models us...
Published in Handbook of financial time series, 2008, https://doi.org/10.1007/978-3-540-71297-8_22</...
Published in Handbook of financial time series, 2008, https://doi.org/10.1007/978-3-540-71297-8_22</...
This paper estimates stochastic differential equation models for the interest rate dynamics of the U...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
Includes bibliographical references (leaves 33-36).This paper presents the results of Gaussian estim...
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models us...
An extensive collection of continuous-time models of the short-term interest rate is evaluated over ...
This paper provides an empirical analysis of a range of alternative single-factor continuous time mo...
This paper overviews maximum likelihood and Gaussian methods of estimating contin-uous time models u...
M.Sc. (Mathematical Statistics)Stochastic Differential Equations (SDE’s) are commonly found in most ...
M.Sc. (Mathematical Statistics)Stochastic Differential Equations (SDE’s) are commonly found in most ...
Recently, financial engineering has brought a significant number of interest rate derivative product...
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term inte...
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term inte...
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models us...
Published in Handbook of financial time series, 2008, https://doi.org/10.1007/978-3-540-71297-8_22</...
Published in Handbook of financial time series, 2008, https://doi.org/10.1007/978-3-540-71297-8_22</...
This paper estimates stochastic differential equation models for the interest rate dynamics of the U...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
Includes bibliographical references (leaves 33-36).This paper presents the results of Gaussian estim...
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models us...
An extensive collection of continuous-time models of the short-term interest rate is evaluated over ...
This paper provides an empirical analysis of a range of alternative single-factor continuous time mo...
This paper overviews maximum likelihood and Gaussian methods of estimating contin-uous time models u...
M.Sc. (Mathematical Statistics)Stochastic Differential Equations (SDE’s) are commonly found in most ...
M.Sc. (Mathematical Statistics)Stochastic Differential Equations (SDE’s) are commonly found in most ...
Recently, financial engineering has brought a significant number of interest rate derivative product...