Indirect Inference in fractional short-term interest rate diffusions

Márcio Laurini and Luiz Hotta

Mathematics and Computers in Simulation (MATCOM), 2013, vol. 94, issue C, 109-126

Abstract: In this article we discuss the estimation of continuous time interest rate models driven by fractional Brownian motion (fBm) using discretely sampled data. In the presence of a fractional Brownian motion, usual estimation methods for continuous time models are not appropriate since in general fBm is neither a semimartingale nor a Markov process. In this context, we discuss the use of simulation-based Indirect Inference.

Keywords: Stochastic differential equations; Fractional Brownian motion; Indirect Inference (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:94:y:2013:i:c:p:109-126

DOI: 10.1016/j.matcom.2013.06.003

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