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Type: Artigo de periódico
Title: Indirect Inference In Fractional Short-term Interest Rate Diffusions
Author: Laurini M.P.
Hotta L.K.
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. © 2013 IMACS.
Rights: fechado
Identifier DOI: 10.1016/j.matcom.2013.06.003
Date Issue: 2013
Appears in Collections:Unicamp - Artigos e Outros Documentos

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