Search Results - subject:"CARMA process"

Robust estimation of stationary continuous‐time arma models via indirect inference

Fasen‐Hartmann, Vicky; Kimmig, Sebastian - In: Journal of Time Series Analysis 41 (2020) 5, pp. 620-651

procedure that first estimates the parameters of the auxiliary AR(r) representation (r ≥ 2p−1) of the sampled CARMA process … parameters of the CARMA process is not given explicitly, a separate simulation part is necessary where the parameters of the AR …

Persistent link: https://www.econbiz.de/10012428706

Continuous time modeling of interest rates: An empirical study on the Turkish short rate

Bayraci, Selcuk; UNAL, GAZANFER - Volkswirtschaftliche Fakultät, … - 2010

We proposed a continuous time ARMA known as CARMA(p,q) model for modeling the interest rate dynamics. CARMA(p,q) models have an advantage over their discrete time counterparts that they allow using Ito formulas and provide closed-form solutions for bond and bond option prices. We demonstrate the...

Persistent link: https://www.econbiz.de/10008805875