Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet

DOI10.1155/S1110757X04306133zbMath1121.62092MaRDI QIDQ2570889

Martien C. A. Van Zuijlen, Gyula Pap, József Gáll

Publication date: 31 October 2005

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53462

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

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