Random field forward interest rate models, market price of risk and their statistics
From MaRDI portal
Publication:1042585
DOI10.1007/s11565-007-0011-3zbMath1177.91136MaRDI QIDQ1042585
Willem Peeters, József Gáll, Gyula Pap
Publication date: 14 December 2009
Published in: Annali dell'Università di Ferrara. Sezione VII. Scienze Matematiche (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11565-007-0011-3
consistency; asymptotic normality; maximum likelihood estimation; interest rate; AR random fields; Heath-Jarrow-Morton models
62F12: Asymptotic properties of parametric estimators
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91G30: Interest rates, asset pricing, etc. (stochastic models)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On a general class of one-factor models for the term structure of interest rates
- Limiting connection between discrete and continuous time forward interest rate curve models
- Forward interest rate curves in discrete time settings driven by random fields
- Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD