Minimum distance estimation and testing for interest rate models

DOI10.1016/0378-4754(93)E0077-IzbMath0824.60063MaRDI QIDQ1897668

Eric Fournié

Publication date: 6 November 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

minimum distance estimatorinterest rate modelsKolmogorov-Smirnov testergodic diffusion processesmiss-specifications

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov processes: hypothesis testing (62M02)

Related Items (1)

A differential evolution algorithm for yield curve estimation

Cites Work

• A Theory of the Term Structure of Interest Rates
• Estimation for diffusion processes under misspecified models
• An equilibrium characterization of the term structure

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