Stabsseminar ved Bent J. Christensen
Professor Bent J. Christensen, Aarhus Universitet, holder stabsseminar ved Institutt for foretaksøkonomi fredag 2. mars.
28.02.2001 - Elin F. Styve
Tema er Optimal Inference for Diffusion Processes, With Applications to the Short Rate of Interest
Tid og sted:
Fredag 2. mars kl. 1215-1330 i Karl Borchs aud.
Improved estimation methods for discretely observed diffusion models of the short rate of interest are introduced. We consider both optimal martingale estimating equations and maximum likelihood methods based on second order convergent numerical solution of the forward partial differential equation for the transition density. The methods are compared to wellknown methods, namely the Generalized Method of Moments, Indirect Inference