Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 1999
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/23986
Resumo: 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.
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spelling Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rateEstimationSemiparametric and Nonparametric MethodsStatistical Simulation MethodsMonte Carlo MethodsTime -Series ModelsIn 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.Repositório da Universidade de LisboaNicolau, João2022-04-01T20:09:41Z1999-071999-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/23986engNicolau, João. 1999. “Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate” .Banco de Portugal. Economic and Research Department. Working Papers nº 4 | 1999.2182-0422info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:53:37Zoai:www.repository.utl.pt:10400.5/23986Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:07.803677Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
title Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
spellingShingle Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
Nicolau, João
Estimation
Semiparametric and Nonparametric Methods
Statistical Simulation Methods
Monte Carlo Methods
Time -Series Models
title_short Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
title_full Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
title_fullStr Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
title_full_unstemmed Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
title_sort Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv Estimation
Semiparametric and Nonparametric Methods
Statistical Simulation Methods
Monte Carlo Methods
Time -Series Models
topic Estimation
Semiparametric and Nonparametric Methods
Statistical Simulation Methods
Monte Carlo Methods
Time -Series Models
description 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.
publishDate 1999
dc.date.none.fl_str_mv 1999-07
1999-07-01T00:00:00Z
2022-04-01T20:09:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/23986
url http://hdl.handle.net/10400.5/23986
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João. 1999. “Simulated likelihood estimation of non-linear diffusion processes through non-parametric procedure with an application to the portuguese interest rate” .Banco de Portugal. Economic and Research Department. Working Papers nº 4 | 1999.
2182-0422
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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