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 Perna
Membro del Collaboration Group
;
Michele La Rocca
Membro del Collaboration Group
2018-01-01

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.
2018
978-3-319-89824-7
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/4714870
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