Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters
| Year of publication: |
2010
|
|---|---|
| Authors: | Rossi, Giuliano De |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 36.2010, 1, p. 1-16
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Term structure of interest rates | Sequential Monte Carlo method | Importance sampling |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008596725