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arXiv · 1401.3191

Joint ML estimation of all parameters in a discrete time random field HJM type interest rate model

József Gáll·Gyula Pap·Martien van Zuijlen
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Abstract

We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators of the parameters are proved for stable no-arbitrage models containing a general stochastic discounting factor, where explicit form of the ML estimators is not available given a non-i.i.d. sample. The results form the basis of further statistical problems in such models.

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József Gáll, Gyula Pap, Martien van Zuijlen. 2014-01-14. Joint ML estimation of all parameters in a discrete time random field HJM type interest rate model. https://arxiv.org/abs/1401.3191

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