Strongly consistent estimation of all parameters in the Vasicek model by discrete observations

Authors

  • O. D. Prykhodko Taras Shevchenko National University of Kyiv
  • K. V. Ralchenko Sydney Mathematical Research Institute, The University of Sydney, Sydney NSW 2006, Australia https://orcid.org/0000-0001-7208-3130

DOI:

https://doi.org/10.17721/1812-5409.2022/4.3

Keywords:

stochastic differential equation, interest rate model, low-frequency data, ergodic theorem

Abstract

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.

Downloads

Published

2023-04-03

Issue

Section

Algebra, Geometry and Probability Theory

How to Cite

Prykhodko, O. D., & Ralchenko, K. V. (2023). Strongly consistent estimation of all parameters in the Vasicek model by discrete observations. Bulletin of Taras Shevchenko National University of Kyiv. Physics and Mathematics, 4, 26-30. https://doi.org/10.17721/1812-5409.2022/4.3