Indirect Inference in fractional short-term interest rate diffusions
MP Laurini, LK Hotta - Mathematics and Computers in Simulation, 2013 - Elsevier
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 …
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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 …