Parameter estimation for generalized Ait-Sahalia-type interest rate model
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Publication:6171889
Cites work
- Approximate maximum likelihood estimation of a threshold diffusion process
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- Maximum likelihood estimation for continuous-time stochastic processes
- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Parameter estimation in stochastic differential equations.
- Statistical inference for ergodic diffusion processes.
- Stochastic differential equations and applications.
Cited in
(3)- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Trajectory fitting estimation for non-homogeneous reflected Ornstein–Uhlenbeck process driven by an α -stable process
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