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Joint ML estimation of all parameters in a discrete time random field HJM type interest rate model by Gáll, József; Pap, Gyula; van Zuijlen, Martien is a scholarly article available to read on EtoBox.

What is Joint ML estimation of all parameters in a discrete time random field HJM type interest rate model about?

We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators of the parameters are proved for stable no-arbitrage models containing a general stochastic discounting factor, where explicit form of the ML estimators is not available given a non-i.i.d. sample. The results form the basis of further statistical problems in such models.

Author

Gáll, József; Pap, Gyula; van Zuijlen, Martien

Published

2014

Language

EN