Processes with volatility‐induced stationarity: an application for interest rates

DOI10.1111/j.1467-9574.2005.00292.xzbMath1130.60072OpenAlexW2081405537MaRDI QIDQ5438539

João Nicolau

Publication date: 24 January 2008

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.2005.00292.x

zbMATH Keywords

stochastic differential equationsdiffusion processesparametric estimationnon-parametric estimation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH ⋮ CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES ⋮ Stochastic square of the Brennan-Schwartz diffusion process: statistical computation and application ⋮ On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications

Cites Work

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• Nonlinearity and temporal dependence
• A new technique for simulating the likelihood of stochastic differential equations
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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