TY - JOUR
T1 - A NOTE on FERGUSSON and PLATEN: "APPLICATION of MAXIMUM LIKELIHOOD ESTIMATION to STOCHASTIC SHORT RATE MODELS"
AU - Ballestra, Luca Vincenzo
AU - Pacelli, Graziella
AU - Radi, Davide
PY - 2016
Y1 - 2016
N2 - 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.
AB - 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.
KW - maximum likelihood estimation
KW - Vasicek model
KW - Observed Fisher information matrix
KW - maximum likelihood estimation
KW - Vasicek model
KW - Observed Fisher information matrix
UR - http://hdl.handle.net/10807/238034
U2 - 10.1142/S2010495216500184
DO - 10.1142/S2010495216500184
M3 - Article
SN - 2010-4952
VL - 11
SP - N/A-N/A
JO - Annals of Financial Economics
JF - Annals of Financial Economics
ER -