Strong consistency of parameter estimators and simulations in a forward interest rate model
We study the strong consistency of an autoregression parameter of a discrete time Heath-Jarrow-Morton type forward interest rate model, where the interest rate curves are driven by a geometric spatial autoregression field. In this paper the size of the subsamples corresponding to different time poin...
Elmentve itt :
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| Dokumentumtípus: | Cikk |
| Megjelent: |
Bolyai Institute, University of Szeged
Szeged
2014
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| Sorozat: | Acta scientiarum mathematicarum
80 No. 1-2 |
| Kulcsszavak: | Matematika |
| Tárgyszavak: | |
| mtmt: | http://dx.doi.org/10.14232/actasm-014-020-z |
| Online Access: | http://acta.bibl.u-szeged.hu/34498 |
| Tartalmi kivonat: | We study the strong consistency of an autoregression parameter of a discrete time Heath-Jarrow-Morton type forward interest rate model, where the interest rate curves are driven by a geometric spatial autoregression field. In this paper the size of the subsamples corresponding to different time points is fixed: the observations of the forward rates are given for the same time to maturity values at each time point. We show the consistency in the stable case and in an unstable case and give empirical results based on simulations as well. |
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| Terjedelem/Fizikai jellemzők: | 327-348 |
| ISSN: | 0001-6969 |