A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan

DOI10.1007/S10690-005-6021-1MaRDI QIDQ816779zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 23 February 2006

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-005-6021-1

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3276280 (Why is no real title available?)
• A theory of the term structure of interest rates
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
• Interest rate modelling.
• Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations

Cited in

(4)

• Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
• Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
• The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach

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