- Volume 17 Issue 4
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Review and Applications of NLL Estimation Method for Diffusion Processes
확산모형에 대한 NLL 추정법의 특성과 적용
- Hong, Jin-Young (Department of Applied Statistics, Konkuk University) ;
- Lee, Yoon-Dong (Sogang Business School, Sogang University)
- Received : 20100100
- Accepted : 20100400
- Published : 2010.07.31
Many of financial data are explained via diffusion models in modern financial research. Various types of estimation methods of diffusion processes were suggested by many authors. In this paper, we tested the properties of the NLL estimation method, suggested by Shoji and Ozaki (1998), of diffusion processes in the view of the bias and variance of the estimators and applied the method to estimate the model parameters for the U.S. fedral funds rate data and Korean inter-bank exchange rate data. By simulation study we showed that the NLL method provides relatively good estimators, in the meaning that the estimator has less bias than the Euler method, while keeping the variance similar level. We also provide the NLL estimates of U.S fedral funds rate data and Korean inter-bank exchange rate data.
Estimation methods;diffusion process;model parameters;Euler method
Supported by : 서강대학교
, 건국대학교 석사학위 논문.
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