Publicação
Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
| Resumo: | In this article we present a new model of the spot interest rate and a new method of estimation of nonlinear stochastic differential equations. We show how an integrated discrete time process in an econometric sense can be modelled by a continuous time ergodic process. We make an application to the Portuguese spot interest rate. |
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| Autores principais: | Nicolau, João |
| Assunto: | Estimation Semiparametric and Nonparametric Methods Statistical Simulation Methods Monte Carlo Methods Time -Series Models |
| Ano: | 1999 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | In this article we present a new model of the spot interest rate and a new method of estimation of nonlinear stochastic differential equations. We show how an integrated discrete time process in an econometric sense can be modelled by a continuous time ergodic process. We make an application to the Portuguese spot interest rate. |
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