Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model

DOI10.1007/s10986-009-9037-9zbMath1176.62101OpenAlexW2051015742MaRDI QIDQ1041400

E. Fülöp, Gyula Pap

Publication date: 2 December 2009

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-009-9037-9

zbMATH Keywords

geometric spatial autoregression fieldHeath-Jarrow-Morton-type forward interest rate modelno-arbitrage modelsstochastic discounting factorsstrong consistency of maximum likelihood estimators from nonindependent samples

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from spatial processes (62M30) Random fields; image analysis (62M40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Asymptotic Statistics
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Asymptotic Properties of Non-Linear Least Squares Estimators

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