scientific article; zbMATH DE number 7113123

zbMATH Open1463.91185MaRDI QIDQ5196299FDOQ5196299

Authors: Xinjun Zhang, Liang Jiang, Zhixing Lin 

Publication date: 2 October 2019

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Hawkes processjumpgeneral moment methodshort term interest model

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Jump processes on discrete state spaces (60J74)

Cited In (2)

• Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
• The role of the risk-neutral jump size distribution in single-factor interest rate models

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