Abstract
In this paper we analyse small sample properties of the ML estimation procedure in Vasicek and CIR models. In particular, we consider short time series, with a length between 20 and 100, typically values observed in finance and insurance contexts. We perform a simulation study in order to investigate which properties of the parameter estimators remain still valid.
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Albano, G., Rocca, M.L., Perna, C. (2018). Small Sample Analysis in Diffusion Processes: A Simulation Study. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_4
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DOI: https://doi.org/10.1007/978-3-319-89824-7_4
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