Abstract
We study the strong consistency of an autoregression parameter of a discrete time Heath-Jarrow-Morton type forward interest rate model, where the interest rate curves are driven by a geometric spatial autoregression field. In this paper the size of the subsamples corresponding to different time points is fixed: the observations of the forward rates are given for the same time to maturity values at each time point. We show the consistency in the stable case and in an unstable case and give empirical results based on simulations as well.
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Communicated by G. Pap
This research was supported by the European Union and Hungary, co-financed by the European Social Fund in the framework of TÁMOP 4.2.4.A/2-11-1-2012-0001 ‘National Excellence Program’.
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Fülöp, E. Strong consistency of parameter estimators and simulations in a forward interest rate model. ActaSci.Math. 80, 327–348 (2014). https://doi.org/10.14232/actasm-014-020-z
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DOI: https://doi.org/10.14232/actasm-014-020-z
Key words and phrases
- HJM forward interest rate models
- geometric spatial autoregression field
- strong consistency of ML estimators
- simulations with R