Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1139400 | Mathematics and Computers in Simulation | 2013 | 18 Pages |
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
Márcio Poletti Laurini, Luiz Koodi Hotta,