Indirect inference in fractional short-term interest rate diffusions
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Publication:2227436
DOI10.1016/j.matcom.2013.06.003zbMath1499.62383OpenAlexW2007742850MaRDI QIDQ2227436
Márcio Poletti Laurini, Luiz Koodi Hotta
Publication date: 15 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2013.06.003
Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Uses Software
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