Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
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Publication:977000
DOI10.1007/s10614-010-9208-0zbMath1231.91485MaRDI QIDQ977000
Publication date: 16 June 2010
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-010-9208-0
62M20: Inference from stochastic processes and prediction
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
91G30: Interest rates, asset pricing, etc. (stochastic models)
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Cites Work
- The multifactor nature of the volatility of futures markets
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
- Parameter estimation in general state-space models using particle methods
- A Theory of the Term Structure of Interest Rates
- Filtering via Simulation: Auxiliary Particle Filters
- Pricing Interest-Rate-Derivative Securities
- Monte Carlo Smoothing for Nonlinear Time Series
- A Monte Carlo filtering approach for estimating the term structure of interest rates
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