Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate (Q782628)
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scientific article; zbMATH DE number 7225394
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| English | Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate |
scientific article; zbMATH DE number 7225394 |
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Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate (English)
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28 July 2020
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local likelihood density estimation
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pseudo likelihood estimation
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jump diffusion model
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bootstrap
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short-term interest rate
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0.7706658244132996
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0.7651814818382263
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0.7620859742164612
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