Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
type: Item
instance of: scholarly article
title: Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
author: Tianshun Yan
author: Wentao Wang
author: Yanyong Zhao
published in: Computational Statistics
publication date: 2020-07-28T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60J74
zbMATH DE Number: 7225394
zbMATH Keywords: local likelihood density estimation
zbMATH Keywords: pseudo likelihood estimation
zbMATH Keywords: jump diffusion model
zbMATH Keywords: bootstrap
zbMATH Keywords: short-term interest rate
describes a project that uses: Optimization Toolbox
describes a project that uses: Matlab
describes a project that uses: CML
MaRDI profile type: Publication
full work available at URL: s00180-019-00875-1
OpenAlex ID: W2919086915
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Wikidata QID: Q128309077
DOI: 10.1007/S00180-019-00875-1
description: scientific article; zbMATH DE number 7225394