Parametric Estimation and the CIR Model

DOI10.4067/S0716-09172016000200005MaRDI QIDQ3187158zbMATH OpenFDO

Authors Eugenio Saavedra

Publication date 15 August 2016

Published in Proyecciones (Antofagasta) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4067/S0716-09172016000200005

zbMATH Keywords

CIR modeldiffusion processesparametric estimationquasi-likelihood estimatorsstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Financial applications of other theories (91G80)

Cites work

• An Intertemporal General Equilibrium Model of Asset Prices
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• Using e-mail effectively

Cited in

(1)

• On the distribution of extended CIR model

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