In this paper we analyse small sample properties of the ML estimation procedure in Vasicek and CIR models. In particular, we consider short time series, with a length between 20 and 100, typically values observed in finance and insurance contexts. We perform a simulation study in order to investigate which properties of the parameter estimators remain still valid.
Small Sample Analysis in Diffusion Processes: a Simulation Study
Giuseppina Albano
Membro del Collaboration Group
;Cira PernaMembro del Collaboration Group
;Michele La RoccaMembro del Collaboration Group
2018
Abstract
In this paper we analyse small sample properties of the ML estimation procedure in Vasicek and CIR models. In particular, we consider short time series, with a length between 20 and 100, typically values observed in finance and insurance contexts. We perform a simulation study in order to investigate which properties of the parameter estimators remain still valid.File in questo prodotto:
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