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Estimación De Parámetros De Ecuaciones Diferenciales Estocásticas

Author

Listed:
  • José Antonio Nuñez-Mora

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

En este trabajo, se desarrolla un método de estimación de los coeficientes de difusión de ecuaciones diferenciales estócasticas. Nuestra propuesta se basa en el modelo de Zane (1994) con algunas modificaciones esenciales. Los estimadores obtenidos de los coeficientes son fuertemente consistentes. A manera de ilustración, se presenta un ejemplo de aplicación del método desarrollado.

Suggested Citation

  • José Antonio Nuñez-Mora, 2002. "Estimación De Parámetros De Ecuaciones Diferenciales Estocásticas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 1(1), pages 83-91, Marzo 200.
    • Handle: RePEc:imx:journl:v:1:y:2002:i:1:p:83-91
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/122
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    More about this item

    Keywords

    Estimación paramétrica; Ecuaciones diferenciales estocásticas;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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