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Finanzmarktökonometrie : zeitstetige Systeme und ihre Anwendung in Ökonometrie und empirischer Kapitalmarktforschung

Singer, Hermann - 1999

Persistent link: https://www.econbiz.de/10001362446

A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)

Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22

Persistent link: https://www.econbiz.de/10011778269

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - In: Annals of finance 9 (2013) 2, pp. 217-248

Persistent link: https://www.econbiz.de/10009741196

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10009570666

Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates

Cserna, Balázs - 2008

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...