Small Sample Analysis in Diffusion Processes: A Simulation Study

Giuseppina Albano (), Michele La Rocca and Cira Perna
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Giuseppina Albano: University of Salerno
Michele La Rocca: University of Salerno

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 19-23 from Springer

Abstract: 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.

Keywords: Vasicek process; CIR process; Boostrap resampling (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_4

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DOI: 10.1007/978-3-319-89824-7_4

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