Closed-form likelihood estimation for one type of affine point processes

Suxin Wang, Shiyu Song and Yongjin Wang

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 19, 5818-5825

Abstract: This paper presents a closed-form likelihood approximation for one type of affine point processes widely used in financial credit risk models. We proceed by first conjecturing the concrete series form of the transition density, verifying our postulation and then establishing the related coefficients by means of Kolmogorov equations. The asymptotic properties of the maximum-likelihood estimators (MLEs) are given in the end.

Date: 2016
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DOI: 10.1080/03610926.2014.950749

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