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Joint ML estimation of all parameters in a discrete time random field HJM type interest rate model - MaRDI portal

Joint ML estimation of all parameters in a discrete time random field HJM type interest rate model

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Publication:6248096

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arXiv1401.3191MaRDI QIDQ6248096

Martien C. A. Van Zuijlen, Gyula Pap, József Gáll

Publication date: 14 January 2014

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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