Parameter estimation of parabolic type factor model and empirical study of US Treasury bonds. (English) Zbl 1341.62072
Ceragioli, F. (ed.) et al., System modeling and optimization. Proceedings of the 22nd IFIP TC7 conference, July 18–22, 2005, Turin, Italy. New York, NY: Springer (ISBN 0-387-32774-6/hbk). IFIP, International Federation for Information Processing 199, 207-217 (2006).
Summary: In this paper we study the parameter estimation problem for stochastic distributed parameter systems by using the modified maximum likelihood method. More specifically, by using the US treasury bond data, the parameter estimation is performed for the stochastic hyperbolic and parabolic models describing the behavior of the term-structure of the US bond. From the prediction results, we can show that the parabolic factor models work better than the hyperbolic ones.
For the entire collection see [Zbl 1118.93004].
For the entire collection see [Zbl 1118.93004].
MSC:
| 62F10 | Point estimation |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
