You are here

Simulated Likelihood Estimation of Non-Linear Diffusion Processes Through Non-Parametric Procedure With an Application to the Portuguese Interest Rate

Authors 
João Nicolau
Publication Year 
1999
JEL Code 
C13 - Estimation
C14 - Semiparametric and Nonparametric Methods
C15 - Statistical Simulation Methods; Monte Carlo Methods
C22 - Time-Series Models
Abstract 
In this article we present a new model of the spot interest rate and a new method of estimation of nonlinear stochastic differential equations. We show how an integrated discrete time process in an econometric sense can be modelled by a continuous time ergodic process. We make an application to the Portuguese spot interest rate.
Document link 
Published as 
Tags