Strongly consistent estimation of all parameters in the Vasicek model by discrete observations
DOI:
https://doi.org/10.17721/1812-5409.2022/4.3Keywords:
stochastic differential equation, interest rate model, low-frequency data, ergodic theoremAbstract
We construct estimators of all three unknown parameters in the Vasicek interest rate model based on discrete observations and prove their strong consistency. Theoretical results are illustrated by simulations.
Pages of the article in the issue: 26 - 30
Language of the article: English
References
VASICEK, O. (1977) An equilibrium characterization of the term structure, Journal of Financial Economics, 5(2), pp. 177–188.
KUTOYANTS, Y. A. (2004) Statistical inference for ergodic diffusion processes. London: Springer-Verlag.
MISHURA, Y. and SHEVCHENKO, G. (2017) Theory and statistical applications of stochastic processes. London: ISTE.
CHERIDITO, P., KAWAGUCHI, H. and MAEJIMA, M. (2003) Fractional Ornstein–Uhlenbeck processes, Electronic Journal of Probability, 8, pp. 1–14.
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