Duan, Qihong; Wei, Ying; Chen, Zhiping - In: Economic Modelling 38 (2014) C, pp. 220-226
A Poisson process with stochastic intensity is utilized to model changes of a benchmark interest rate set by a Central Bank. We propose explicit formulas for estimators of parameters and the expectation of the intensity, based on observations of the process. Through comparing the intensity and...