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Drift estimation for a periodic mean reversion process

✍ Scribed by Herold Dehling; Brice Franke; Thomas Kott

Publisher
Springer Netherlands
Year
2010
Tongue
English
Weight
203 KB
Volume
13
Category
Article
ISSN
1387-0874

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## Abstract We consider some inference problems concerning the drift parameters of multi‐factors Vasicek model (or multivariate Ornstein–Uhlebeck process). For example, in modeling for interest rates, the Vasicek model asserts that the term structure of interest rate is not just a single process, b