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

João Nicolau

Working Papers from Banco de Portugal, Economics and Research Department

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.

JEL-codes: C13 C14 C15 C22 (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w199904

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