Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.7669 ◽

1996 ◽

Cited By ~ 7

Author(s):

Peter Honore

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Term Structure ◽

Continuous Time ◽

Likelihood Estimation ◽

Term Structure Models ◽

Non Linear ◽

Time Term

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Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

Operations Research Proceedings - Operations Research Proceedings 2005 ◽

10.1007/3-540-32539-5_80 ◽

2006 ◽

pp. 507-512 ◽

Cited By ~ 1

Author(s):

Manfred Frühwirth ◽

Paul Schneider ◽

Leopold Sögner

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Term Structure ◽

Likelihood Estimation ◽

Term Structure Models

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Bayesian versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.780085 ◽

2005 ◽

Author(s):

Paul Georg Schneider ◽

Manfred Fruhwirth ◽

Leopold Sögner

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Term Structure ◽

Likelihood Estimation ◽

Term Structure Models

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Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

Electronic Journal of Statistics ◽

10.1214/19-ejs1636 ◽

2019 ◽

Vol 13 (2) ◽

pp. 5151-5212 ◽

Cited By ~ 1

Author(s):

Vicky Fasen-Hartmann ◽

Markus Scholz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Continuous Time ◽

Likelihood Estimation ◽

State Space Models ◽

Low Frequencies ◽

Quasi Maximum Likelihood ◽

Linear State ◽

Time Linear

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On Maximum Likelihood Estimation of Continuous-Time Oscillators Modelled as Continuous-Time Autoregressive System

IEEE Latin America Transactions ◽

10.1109/tla.2019.8931211 ◽

2019 ◽

Vol 17 (07) ◽

pp. 1214-1219

Author(s):

Maria Coronel ◽

Karen Gonzalez ◽

Pedro Escarate ◽

Rodrigo Carvajal ◽

Juan Carlos Aguero

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation

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Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

Journal of Time Series Analysis ◽

10.1111/jtsa.12499 ◽

2019 ◽

Vol 41 (2) ◽

pp. 357-364

Author(s):

Emma M. Iglesias ◽

Garry D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

Continuous Time Model ◽

Time Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Maximum Likelihood Estimation of LTI Continuous-Time Grey-box Models

IFAC Proceedings Volumes ◽

10.3182/20140824-6-za-1003.02269 ◽

2014 ◽

Vol 47 (3) ◽

pp. 3739-3744 ◽

Cited By ~ 2

Author(s):

Jiří Řehoř ◽

Vladimír Havlena

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

Box Models

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Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates

The Journal of Fixed Income ◽

10.3905/jfi.1993.408090 ◽

1993 ◽

Vol 3 (3) ◽

pp. 14-31 ◽

Cited By ~ 351

Author(s):

Ren-Raw Chen ◽

Louis Scott

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Interest Rates ◽

Term Structure ◽

Equilibrium Model ◽

Likelihood Estimation

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Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2005.00422.x ◽

2005 ◽

Vol 26 (5) ◽

pp. 691-713 ◽

Cited By ~ 19

Author(s):

Henghsiu Tsai ◽

K. S. Chan

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Long Memory ◽

Likelihood Estimation ◽

Memory Processes ◽

Long Memory Processes ◽

Quasi Maximum Likelihood

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Maximum likelihood estimation of multivariate non-linear functional relationships

Series Statistics ◽

10.1080/02331887908801483 ◽

1979 ◽

Vol 10 (2) ◽

pp. 273-280

Author(s):

M.F. Egerton ◽

P.J. Laycock

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Linear Functional ◽

Likelihood Estimation ◽

Functional Relationships ◽

Non Linear

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Continuous-time term structure models: Forward measure approach

Finance and Stochastics ◽

10.1007/s007800050025 ◽

1997 ◽

Vol 1 (4) ◽

pp. 261-291 ◽

Cited By ~ 97

Author(s):

Marek Musiela ◽

Marek Rutkowski

Keyword(s):

Term Structure ◽

Continuous Time ◽

Term Structure Models ◽

Forward Measure ◽

Time Term

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