Simulated Likelihood Estimation of Non-Linear Diffusion Processes Through Non-Parametric Procedure With an Application to the Portuguese Interest Rate
AbstractIn 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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Bibliographic InfoPaper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w199904.
Date of creation: 1999
Date of revision:
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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