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MLE of some continuous time financial models: Some Monte Carlo results

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  • Tse, Y.K.

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  • Tse, Y.K., 1992. "MLE of some continuous time financial models: Some Monte Carlo results," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 575-580.
    • Handle: RePEc:eee:matcom:v:33:y:1992:i:5:p:575-580
    DOI: 10.1016/0378-4754(92)90155-A
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    References listed on IDEAS

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    1. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(2), pages 231-247, August.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
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    Cited by:

    1. Tse, Y.K., 1997. "Short-term interest rate models and generation of interest rate scenarios," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 475-480.
    2. Tse, Y. K., 1995. "Some international evidence on the stochastic behavior of interest rates," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 721-738, October.

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