Estimation de diffusion à volatilité stochastique et application au taux d'intérêt à court terme français

Frédérick Bourgoin; David Prieul

Journal de la société française de statistique (1997)

  • Volume: 138, Issue: 4, page 43-66
  • ISSN: 1962-5197

How to cite

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Bourgoin, Frédérick, and Prieul, David. "Estimation de diffusion à volatilité stochastique et application au taux d'intérêt à court terme français." Journal de la société française de statistique 138.4 (1997): 43-66. <http://eudml.org/doc/198770>.

@article{Bourgoin1997,
author = {Bourgoin, Frédérick, Prieul, David},
journal = {Journal de la société française de statistique},
language = {fre},
number = {4},
pages = {43-66},
publisher = {Société de statistique de Paris},
title = {Estimation de diffusion à volatilité stochastique et application au taux d'intérêt à court terme français},
url = {http://eudml.org/doc/198770},
volume = {138},
year = {1997},
}

TY - JOUR
AU - Bourgoin, Frédérick
AU - Prieul, David
TI - Estimation de diffusion à volatilité stochastique et application au taux d'intérêt à court terme français
JO - Journal de la société française de statistique
PY - 1997
PB - Société de statistique de Paris
VL - 138
IS - 4
SP - 43
EP - 66
LA - fre
UR - http://eudml.org/doc/198770
ER -

References

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  3. [3] L. BROZE, O. SCAILLET, et J.M. ZAKOIAN (1993) Testing for Continuous-time Models of the Short-term Interest Rate, Unpublished Manuscript, CORE, Belgium. Zbl0838.62077
  4. [4] K. C. CHAN , G. A. KAROLYI, F. A. LONGSTAFF, et A. B. SANDERS (1992) " An Empirical Comparison of Alternative Models of the Short-term Interest Rate", Journal of Finance, 47 : 1209-1227. 
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  6. [6] J. A. DOORNIK et H. HANSEN (1994) An Omnibus Test for Univariate and Multivariate Normality, Unpublished Manuscript, Nuffield College, Oxford. 
  7. [7] B. P. FLANNERY, W. H. PRESS, S. A. TEUKOLSKY, et W.T. VETTERLING (1994) Numerical Recipes in Fortran : the Art of Scientific Computing, Second edition, Cambridge University Press, New York. Zbl0778.65002MR1196230
  8. [8] A. R. GALLANT et V. M. FENTON (1996) " Convergence Rates of SNP Density Estimators", Econometrica, 64 : 719-727. Zbl0848.62023MR1385562
  9. [9] A. R. GALLANT et D. W. NYCHKA (1987) " Semi-nonparametric Maximum Likelihood Estimation", Econometrica, 55 : 363-390. Zbl0631.62110MR882100
  10. [10] A. R. GALLANT et G. TAUCHEN (1996) " Which Moments to Match ? ", Econometric Theory, 12 : 657-681. MR1422547
  11. [11] A. J. KINDERMANN et J. F. MONAHAN (1977) " Computer Generation of Random Variables Using the Ratio of Uniform Deviates", ACM Transactions on Mathematical Software 3 : 257-260. Zbl0387.65006
  12. [12] P. E. KLOEDEN et E. PLATEN (1992) Numerical Solution of Stochastic Differential Equations, Springer-Verlag, New York. Zbl0752.60043MR1214374
  13. [13] R. MERTON (1973) " Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, 4 : 141-183. Zbl1257.91043MR496534
  14. [14] G. TAUCHEN (1997) " The Objective Function of Simulation Estimators near the Boundary of the Stability Set", Forthcoming The Review of Economics and Statistics. 
  15. [15] O. VASICEK (1977) " An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, 5 : 177-188. 

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