Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 2010, Okayama)
Numerical Study on a Type I Error of a Random Walk Hypothesis on Interest Rates
Nien-Lin Lin
Author information
JOURNAL FREE ACCESS

2011 Volume 2011 Pages 89-95

Details
Download PDF (3197K)
Download citation RIS

(compatible with EndNote, Reference Manager, ProCite, RefWorks)

BIB TEX

(compatible with BibDesk, LaTeX)

Text
How to download citation
Contact us
Abstract
In this paper, a numerical study using dummy data to reproduce the empirical results of [4] without contradicting the theoretical result in [3] will be presented. We have generated dummy spot rate data by using dummy volatility matrices, dummy drift vector and Gaussian pseudo i.i.d. random vectors as driven noises.
Content from these authors
© 2011 ISCIE Symposium on Stochastic Systems Theory and Its Applications
Previous article Next article
Favorites & Alerts

Recently viewed articles
Share this page
feedback
 Top