Indirect Inference in fractional short-term interest rate diffusions

In this article we discuss the estimation of continuous time interest rate models driven by fractional Brownian motion (fBm) using discretely sampled data. In the presence of a fractional Brownian motion, usual estimation methods for continuous time models are not appropriate since in general fBm is neither a semimartingale nor a Markov process. In this context, we discuss the use of simulation-based Indirect Inference.

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Year of publication:	2013
Authors:	Laurini, Márcio Poletti ; Hotta, Luiz Koodi
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 94.2013, C, p. 109-126
Publisher:	Elsevier
Subject:	Stochastic differential equations \| Fractional Brownian motion \| Indirect Inference

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011050503