Article ID Journal Published Year Pages File Type
1139400 Mathematics and Computers in Simulation 2013 18 Pages PDF
Abstract
In this article we discuss the estimation of continuous time interest rate models driven by fractional Brownian motion (fBm) using discretely sampled data. In the presence of a fractional Brownian motion, usual estimation methods for continuous time models are not appropriate since in general fBm is neither a semimartingale nor a Markov process. In this context, we discuss the use of simulation-based Indirect Inference.
Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
Authors
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