Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
DOI10.1007/s00180-019-00875-1OpenAlexW2919086915WikidataQ128309077 ScholiaQ128309077MaRDI QIDQ782628
Tianshun Yan, Wentao Wang, Yan-Yong Zhao
Publication date: 28 July 2020
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-019-00875-1
bootstrapjump diffusion modellocal likelihood density estimationpseudo likelihood estimationshort-term interest rate
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Jump processes on discrete state spaces (60J74)
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