Simulated Likelihood Estimation of Non-Linear Diffusion Processes Through Non-Parametric Procedure With an Application to the Portuguese Interest Rate
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.
|Date of creation:||1999|
|Date of revision:|
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