Indirect Inference In Fractional Short-term Interest Rate Diffusions

dc.creatorLaurini M.P.
dc.creatorHotta L.K.
dc.date2013
dc.date2015-06-25T19:17:04Z
dc.date2015-11-26T15:14:59Z
dc.date2015-06-25T19:17:04Z
dc.date2015-11-26T15:14:59Z
dc.date.accessioned2018-03-28T22:24:56Z
dc.date.available2018-03-28T22:24:56Z
dc.identifier
dc.identifierMathematics And Computers In Simulation. , v. 94, n. , p. 109 - 126, 2013.
dc.identifier3784754
dc.identifier10.1016/j.matcom.2013.06.003
dc.identifierhttp://www.scopus.com/inward/record.url?eid=2-s2.0-84880542549&partnerID=40&md5=89283802d9e040f45a71236a177c5157
dc.identifierhttp://www.repositorio.unicamp.br/handle/REPOSIP/89518
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/89518
dc.identifier2-s2.0-84880542549
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1258948
dc.descriptionIn 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. © 2013 IMACS.
dc.description94
dc.description
dc.description109
dc.description126
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dc.languageen
dc.publisher
dc.relationMathematics and Computers in Simulation
dc.rightsfechado
dc.sourceScopus
dc.titleIndirect Inference In Fractional Short-term Interest Rate Diffusions
dc.typeArtículos de revistas


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