A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS”-Reference-Cited by-同舟云学术

A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS”

Published:2016-12 Issue:04 Volume:11 Page:1650018
ISSN:2010-4952
Container-title:Annals of Financial Economics
language:en
Short-container-title:Ann. Finan. Econ.

Author:

BALLESTRA LUCA VINCENZO¹,PACELLI GRAZIELLA²,RADI DAVIDE³

Affiliation:

1. Department of Statistics, Università di Bologna, 40126 Bologna, Italy

2. Department of Management, Università Politecnica delle Marche, 60121 Ancona, Italy

3. School of Economics and Management, LIUC — Università Carlo Cattaneo, 21053 Castellanza, Italy

Abstract

In a very recent and interesting paper, Fergusson and Platen (2015) investigate the applicability of the maximum likelihood (ML) method for estimating the parameters of some of the most popular stochastic models for the short interest rate. One of the main results of this paper is the analytical expression of the so-called observed Fisher information matrix for the Vasicek model at the ML point. However, in such a matrix some entries are not derived correctly and one entry is left unspecified. In the following, we provide the correct analytical expression of that matrix.

Publisher

World Scientific Pub Co Pte Lt

Subject

Economics and Econometrics,Finance,Business and International Management

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2010495216500184

Reference2 articles.

1. APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS

2. Numerical Mathematics

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