Gaussian estimation of one-factor mean reversion processes
| dc.citation.journalTitle | Journal of Probability and Statistics | |
| dc.contributor.author | Marín Sánchez, F.H. | spa |
| dc.contributor.author | Palacio, J.S. | spa |
| dc.contributor.department | Universidad EAFIT. Departamento de Economía y Finanzas | spa |
| dc.contributor.researchgroup | Research in Spatial Economics (RISE) | eng |
| dc.date.accessioned | 2021-04-12T14:26:14Z | |
| dc.date.available | 2021-04-12T14:26:14Z | |
| dc.date.issued | 2013-01-01 | |
| dc.description.abstract | We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors. © 2013 Freddy H. Marín Sánchez and J. Sebastian Palacio. | eng |
| dc.identifier | https://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=2029 | |
| dc.identifier.doi | 10.15446/cuad.econ.v35n68.52732 | |
| dc.identifier.issn | 1687952X | |
| dc.identifier.issn | 16879538 | |
| dc.identifier.other | SCOPUS;2-s2.0-84962033799 | |
| dc.identifier.uri | http://hdl.handle.net/10784/28031 | |
| dc.language.iso | eng | eng |
| dc.publisher | Hindawi Publishing Corporation | |
| dc.relation.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84887460282&doi=10.1155%2f2013%2f239384&partnerID=40&md5=7f17a6776d71ac890b2384c1e8efa443 | |
| dc.rights | https://v2.sherpa.ac.uk/id/publication/issn/1687-952X | |
| dc.source | Journal of Probability and Statistics | |
| dc.title | Gaussian estimation of one-factor mean reversion processes | eng |
| dc.type | article | eng |
| dc.type | info:eu-repo/semantics/article | eng |
| dc.type | info:eu-repo/semantics/publishedVersion | eng |
| dc.type | publishedVersion | eng |
| dc.type.local | Artículo | spa |
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