A Comparison Among Alternative Parameters Estimators in the Vasicek Process: A Small Sample Analysis

Giuseppina Albano (), Michele La Rocca () and Cira Perna
Additional contact information
Giuseppina Albano: Università di Salerno
Michele La Rocca: Università di Salerno

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 1-6 from Springer

Abstract: Abstract In this paper we perform a Monte Carlo simulation study to compare the performance of several parameters estimators in the Vasicek process when small sample sizes are available. The aim is to give useful insights to establish which estimator is better when only short time series, with a length between 20 and 200, are observed.

Keywords: Small samples; Martingale estimating functions; Generalized method of moments (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_1

Ordering information: This item can be ordered from
http://www.springer.com/9783030789657

DOI: 10.1007/978-3-030-78965-7_1

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().