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
2018-01-01
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.File in questo prodotto:
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