Parametric Estimation and the CIR Model
DOI:
https://doi.org/10.4067/S0716-09172016000200005Keywords:
estimating function, quasi—likelihood, stochastic differential equation, función estimativa, casi-parentesco, ecuación diferencial estocástica.Abstract
We study parametric estimation in the Cox-Ingersoll-Ross model and establish the stochastic differential equations for the parameters involved in it.Downloads
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References
[1] Brown, R. H., Schaefer, S. M., The Term Structure of Real Interest Rates and the Cox, Ingersoll and Ross Model, J. of Financial Economics 35, pp. 3—42, (1994).
[2] Cox, J. S., Ingersoll, J. E., Ross, S. A., A theory of term structure of interest rates, Econometrica. 53, pp. 363—384, (1985).
[3] Feigin, P., Maximum likelihood estimation for continuous-time stochastic processes, J. Appl. Probab. 8, pp. 712—736, (1976).
[4] Heyde, C., Quasi—Likelihood and its Aplications, Springer, New York, (1997).
[5] Kloeden, P., Platen, E., Numerical Solution of Stochastic Differential Equations, Second Edition, Springer, Berlin, (1995).
[6] Kloeden, P., Platen, E., Shurz, H., Sorensen, M., On effects of discretization on estimators of drift parameters for diffusion processes, J. Appl. Probab. 33, pp. 1061—1076, (1996).
[7] Protter, P., Stochastic Integration and Differential Equations, Springer, New York, (1990).
[2] Cox, J. S., Ingersoll, J. E., Ross, S. A., A theory of term structure of interest rates, Econometrica. 53, pp. 363—384, (1985).
[3] Feigin, P., Maximum likelihood estimation for continuous-time stochastic processes, J. Appl. Probab. 8, pp. 712—736, (1976).
[4] Heyde, C., Quasi—Likelihood and its Aplications, Springer, New York, (1997).
[5] Kloeden, P., Platen, E., Numerical Solution of Stochastic Differential Equations, Second Edition, Springer, Berlin, (1995).
[6] Kloeden, P., Platen, E., Shurz, H., Sorensen, M., On effects of discretization on estimators of drift parameters for diffusion processes, J. Appl. Probab. 33, pp. 1061—1076, (1996).
[7] Protter, P., Stochastic Integration and Differential Equations, Springer, New York, (1990).
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Published
2017-03-23
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How to Cite
[1]
“Parametric Estimation and the CIR Model”, Proyecciones (Antofagasta, On line), vol. 35, no. 2, pp. 197–211, Mar. 2017, doi: 10.4067/S0716-09172016000200005.
