Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第42回ISCIE「確率システム理論と応用」国際シンポジウム(2010年11月, 岡山)
Numerical Study on a Type I Error of a Random Walk Hypothesis on Interest Rates
Nien-Lin Lin
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2011 年 2011 巻 p. 89-95

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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.
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© 2011 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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