Parametric Estimation and the CIR Model

DOI10.4067/S0716-09172016000200005zbMath1344.60060MaRDI QIDQ3187158

Eugenio Saavedra

Publication date: 15 August 2016

Published in: Proyecciones (Antofagasta) (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationdiffusion processesCIR modelparametric estimationquasi-likelihood estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80)

Cites Work

• An Intertemporal General Equilibrium Model of Asset Prices
• Maximum likelihood estimation for continuous-time stochastic processes
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