Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
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Publication:977000
DOI10.1007/s10614-010-9208-0zbMath1231.91485OpenAlexW2032789865MaRDI QIDQ977000
Publication date: 16 June 2010
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-010-9208-0
Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Uses Software
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