Reducible diffusions with time-varying transformations with application to short-term interest rates
Ruijun Bu, Jie Cheng, Kaddour Hadri
| Year of publication: |
January 2016
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|---|---|
| Authors: | Bu, Ruijun ; Cheng, Jie ; Hadri, Kaddour |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 52.2016, part A, p. 266-277
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| Subject: | Stochastic differential equation | Reducible diffusion | Constant elasticity variance | Time-varying transformation | Maximum likelihood estimation | Short-term interest rate | Zins | Interest rate | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2014.10.039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011645653