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Chapter 9: Parameter Estimation Risk
https://doi.org/10.1142/9789814663410_0009Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
Introduction
Problems with Estimating Diffusions
A brief review
Parameter estimation for the Vasicek model
Parameter estimation for the CIR model
Problems with Estimation of Jump-Diffusion Models
The Gaussian-Poisson jump-diffusion model
ML Estimation under the Merton Model
Inexistence of an unbiased estimator
A Critique of Maximum Likelihood Estimation
Bootstrapping Can Be Unreliable Too
Notes and Summary
