Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate

DOI10.1007/s00180-019-00875-1MaRDI QIDQ782628

Yan-Yong Zhao, Tianshun Yan, Wentao Wang

Publication date: 28 July 2020

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-019-00875-1

zbMATH Keywords

bootstrap; jump diffusion model; local likelihood density estimation; pseudo likelihood estimation; short-term interest rate

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G30: Interest rates, asset pricing, etc. (stochastic models)

60J74: Jump processes on discrete state spaces

Uses Software

• Matlab
• Optimization Toolbox
• CML