Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment

DOI10.1007/S10203-019-00237-YzbMATH Open1426.91282OpenAlexW2917200183MaRDI QIDQ2330998FDOQ2330998

Authors: Giuseppina Albano, Michele La Rocca, Cira Perna 

Publication date: 23 October 2019

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-019-00237-y

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zbMATH Keywords

bootstrap resamplinglinear drift processVasicek and CIR models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Bootstrap confidence intervals. With comments and a rejoinder by the authors
• Closed-form likelihood expansions for multivariate diffusions
• Parameter estimation and bias correction for diffusion processes
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Improving the forecast of longevity by combining models

Cited In (2)

• Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process
• Small sample properties of the conditional least squares estimator in SETAR models

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