Parametric Estimation and the CIR Model

We study parametric estimation in the Cox-Ingersoll-Ross model and establish the stochastic differential equations for the parameters involved in it.

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Detalles Bibliográficos
Autor principal:	Saavedra,Eugenio
Lenguaje:	English
Publicado:	Universidad Católica del Norte, Departamento de Matemáticas 2016
Materias:	estimating function quasi-likelihood stochastic differential equation
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0716-09172016000200005
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spelling	oai:scielo:S0716-091720160002000052016-05-30Parametric Estimation and the CIR ModelSaavedra,Eugenio estimating function quasi-likelihood stochastic differential equation We study parametric estimation in the Cox-Ingersoll-Ross model and establish the stochastic differential equations for the parameters involved in it.info:eu-repo/semantics/openAccessUniversidad Católica del Norte, Departamento de MatemáticasProyecciones (Antofagasta) v.35 n.2 20162016-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0716-09172016000200005en10.4067/S0716-09172016000200005
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	estimating function quasi-likelihood stochastic differential equation
spellingShingle	estimating function quasi-likelihood stochastic differential equation Saavedra,Eugenio Parametric Estimation and the CIR Model
description	We study parametric estimation in the Cox-Ingersoll-Ross model and establish the stochastic differential equations for the parameters involved in it.
author	Saavedra,Eugenio
author_facet	Saavedra,Eugenio
author_sort	Saavedra,Eugenio
title	Parametric Estimation and the CIR Model
title_short	Parametric Estimation and the CIR Model
title_full	Parametric Estimation and the CIR Model
title_fullStr	Parametric Estimation and the CIR Model
title_full_unstemmed	Parametric Estimation and the CIR Model
title_sort	parametric estimation and the cir model
publisher	Universidad Católica del Norte, Departamento de Matemáticas
publishDate	2016
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0716-09172016000200005
work_keys_str_mv	AT saavedraeugenio parametricestimationandthecirmodel
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Parametric Estimation and the CIR Model

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