Efficient estimation for the volatility of stochastic interest rate models
type: Item
instance of: scholarly article
title: Efficient estimation for the volatility of stochastic interest rate models
zbMATH Open document ID: 1477.62304
author: Hangyan Li
author: Yetong Fang
author: Yu Ping Song
published in: Statistical Papers
publication date: 2022-01-07T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G07
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7453641
zbMATH Keywords: diffusion process
zbMATH Keywords: volatility function
zbMATH Keywords: local linear estimator
zbMATH Keywords: gamma asymmetric kernel
zbMATH Keywords: financial market interest rate
MaRDI profile type: Publication
full work available at URL: s00362-020-01166-4
OpenAlex ID: W3011323306
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DOI: 10.1007/S00362-020-01166-4
description: scientific article; zbMATH DE number 7453641