In a very recent and interesting paper, Fergusson and Platen (2015) investigate the applicability of the maximum likelihood (ML) method for estimating the parameters of some of the most popular stochastic models for the short interest rate. One of the main results of this paper is the analytical expression of the so-called observed Fisher information matrix for the Vasicek model at the ML point. However, in such a matrix some entries are not derived correctly and one entry is left unspecified. In the following, we provide the correct analytical expression of that matrix.
Ballestra, L. V., Pacelli, G., Radi, D., A NOTE on FERGUSSON and PLATEN: "APPLICATION of MAXIMUM LIKELIHOOD ESTIMATION to STOCHASTIC SHORT RATE MODELS", <<ANNALS OF FINANCIAL ECONOMICS>>, 2016; 11 (4): N/A-N/A. [doi:10.1142/S2010495216500184] [https://hdl.handle.net/10807/238034]
A NOTE on FERGUSSON and PLATEN: "APPLICATION of MAXIMUM LIKELIHOOD ESTIMATION to STOCHASTIC SHORT RATE MODELS"
Radi, DavideUltimo
Methodology
2016
Abstract
In a very recent and interesting paper, Fergusson and Platen (2015) investigate the applicability of the maximum likelihood (ML) method for estimating the parameters of some of the most popular stochastic models for the short interest rate. One of the main results of this paper is the analytical expression of the so-called observed Fisher information matrix for the Vasicek model at the ML point. However, in such a matrix some entries are not derived correctly and one entry is left unspecified. In the following, we provide the correct analytical expression of that matrix.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
