Minimum distance estimation and testing for interest rate models

DOI10.1016/0378-4754(93)E0077-IMaRDI QIDQ1897668zbMATH OpenFDO

Authors Eric Fournié

Publication date 6 November 1995

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

interest rate modelsKolmogorov-Smirnov testergodic diffusion processesminimum distance estimatormiss-specifications

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Estimation for diffusion processes under misspecified models

Cited in

(4)

• Goodness-of-fit test for interest rate models: an approach based on empirical processes
• A differential evolution algorithm for yield curve estimation
• Minimal realizations in interest rate models
• A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models

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