2 edition of evaluation of MLE in a model of the nonlinear continuous-time short-term interest rate found in the catalog.
evaluation of MLE in a model of the nonlinear continuous-time short-term interest rate
|Statement||by Ingrid Lo.|
|Series||Bank of Canada working paper -- 2005-45, Working paper (Bank of Canada) -- 2005-45.|
|Contributions||Bank of Canada.|
|The Physical Object|
|Pagination||v, 43 p. ;|
|Number of Pages||43|
Modelling Of The Short Term Interest Rate Biology Essay. Lin Huiping. UJ. Supervisor: Professor Xia Yingcun. Contents Summary. Modelling of the short-term interest rate is important in the pricing of fixed income securities and determining the risk associated with holding portfolios of these securities. Fig. illustrates a nonlinear regression model for the different explanatory variables: order size, volatility, price, and percentage of volume (POV) rates. The graph shows how the dependent variable market impact cost varies with different values for the explanatory variables. This type of nonlinear model is extremely important for electronic trading and has become the underlying.
This stochastic model has been widely used to model the short interest rate [21, 27]. The CIR model states that the short rate follows a square root diffusion process, which has the following continuous-time representation: where is the speed of adjustment (or mean reversion), represents the long run mean of the short-term interest rate, and is Cited by: 3. NLP for MLE: Non-Linear Programming for Maximum Likelihood Estimation Robert J. Gallop, West Chester University, West Chester, PA ABSTRACT The NLP procedure offers a series of optimization techniques for minimizing or maximizing continuous nonlinear Size: KB.
Notes on Maximum Likelihood and Time Series Antonis Demos (Athens University of Economics and Business) December 2 Conditional Probability and Independence In many statistical applications we have variables Xand Y(or events Aand B) and want to explain or predict Yor Afrom Xor B, we are interested not only inFile Size: KB. A ̈ıt-Sahalia, Y., a. Nonparametric pricing of interest rate derivative securities. Econometr – A ̈ıt-Sahalia, Y., b. Testing continuous-time models of the spot in- terest rate. Review of Financial Studies 9, – A ̈ıt-Sahalia, Y., Transition densities for interest rate and other nonlinear diffusions.
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An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate by Ingrid Lo Financial Markets Department Bank of Canada Ottawa, Ontario, Canada K1A 0G9 [email protected] The views expressed in this paper are those of the author.
No responsibility for them should be attributed to the Bank of by: 1. An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate Staff Working Paper (English) Ingrid LoCited by: 1.
Request PDF | An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate | The author compares the performance of three Gaussian approximation methods--by Nowman Author: Ingrid Lo.
Get this from a library. An evaluation of MLE in a model of the nonlinear continuous-time short-term interest rate. [Ingrid Lo; Bank of Canada.] -- "The author compares the performance of three Gaussian approximation methods -- by Nowman (), Shoji and Ozaki (), and Yu and Phillips () -- in estimating a model of the nonlinear.
An evaluation of MLE in a model of the nonlinear continuous-time short-term interest rate / Author: by Ingrid Lo. Publication info: Ottawa: Bank of Canada, Format: EBook, Book, Government Document, Online. An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate By Ingrid Lo Download PDF ( KB)Author: Ingrid Lo.
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood.
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate by Ingrid Lo Bank of Canada Working Papers (Paper:).
Ingrid Lo, "An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate," Staff Working PapersBank of Canada. Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, A multiJactor, nonlinear, continuous-time model oj interest rate volatility rates.
Our methods can be viewed as a nonparametric alternative to the affine class of multifactor continuous-time interest rate models studied in Longstaff and Schwartz (), Duffie and Kan (), Dai and Singleton () and Ait-Sahalia and Kimmel.
The time series used to proxy for the short-term interest rate is the same seven-day Eurodollar rate series used by Aït-Sahalia (b). The data are graphed in Figure 3. This daily series, with observations, covers the period from June 1,to Febru Cited by: This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate.
The approach is based on a stopping time argument that produces a normalizing. NONLINEAR CONTINUOUS-TIME MODEL IDENTIFICATION The identification and estimation of non linear continuous-time models is considerably more difficult than linear modelling. First, there is no unified theory for nonlinear systems and so it is necessary to consider a given 'class' of non linear by: 8.
Book length treatment of nonlinear time series models can be found in Tong (), Granger and Ter¨asvirta () and Franses and van Dijk (). Kim and Nelson () provides a comprehensive account of diﬀerent Markov switching models that have been used in economic and ﬁnancial research.
Given the wide range of nonlinear time series. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility Abstract This paper presents a general, nonlinear version of existing multifactor models, such as Longstaﬀ and Schwartz ().
The novel aspect of our approach is that rather than choosing the model parameterization out of. An evaluation of MLE in a model of the nonlinear continuous-time short-term interest rate / by Ingrid Lo. HG L68 Understanding interest rate swaps / Mary S.
Ludwig. A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market Staff Working Papers, Bank of Canada View citations (2) An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate Staff Working Papers, Bank of Canada View citations (1).
Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada Lynda Khalaf and Maral Kichian The Institutional and Political Determinants of Fiscal Adjustment Robert Lavigne An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate Ingrid Lo.
Predict a Nonlinear Model from a Table. Open Live Script. Create a nonlinear model for auto mileage based on the carbig data.
Predict the mileage of an average automobile. Load the data and create a nonlinear model. The Nonlinear Regression Model 1 Goals The nonlinear regression model block in the Weiterbildungslehrgang (WBL) in ange-wandter Statistik at the ETH Zurich should 1. introduce problems that are relevant to the ﬁtting of nonlinear regression func-tions, 2.
present graphical representations for assessing the quality of approximate conﬁ-File Size: KB. Examples: Nonlinear continuous-time models Lu Ou, Michael D.
Hunter, Sy-Miin Chow Febru This le demonstrates the utilization of dynr in tting single-regime and regime-switching nonlinear dynamic models. As extensions of linear models, nonlinear dynamic models incorporate nonlinearities into the change processes.Simulation-Based Estimation of Contingent-Claims Prices Peter C.
B. Phillips Yale University, University of Auckland, University of York, and Singapore reported evidence of signiﬁcant bias in the MLE of short-term interest rate models. The present paper shows that bias in the MLE of volatility models can Simulation-Based Estimation of.the Kalman Filter.
Section 10 finds the full MLE for the AR(1) model, and sections 11 and 12 provide analogous results for the AR(p) and ARMA(p, q) models respectively. 1) Properties of Maximum Likelihood Estimation (MLE) Once an appropriate model or .