Extraordinariat f=FCr ABWL
Department of Corporate Finance
Wirtschaftsuniversitaet Wien
Augasse 2-6, 1090 Wien
Einladung zum Gastvortrag
Peter Honore, PhD-Student an der Aarhus Business School und an der Warwick
Business School, haelt am Donnerstag, dem 18. Jaenner, um 17.30 Uhr
einen Vortrag zum Thema
"Identification of a dynamic one factor continuous-time term-structure=
model"
Ort: Seminarraum des Extraordinariats Prof. Steiner, 1. Stock Kern C,
Hauptgebaeude der WU, Augasse 2-6
Sie sind herzlich zur Teilnahme eingeladen.
Zum Inhalt:
We will consider a class of dynamic one factor continuous-time interest
models which are all nested in the CKLS-model (Chan, Karolyi, Longstaff and
Sanders 1992). This fact enables us to compare the different models.
To identify the parameters in the continuous-time model where the sample
consists of discrete observations there will be adopted an approximated
maximum likelihood method (simulated maximum likelihood method).
Empirically results from the US-marked will be presented.
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Andreas Hoeger
Department of Corporate Finance
Vienna University of Economics and Business Administration
Augasse 2-6, 1090 Vienna
Phone: ++43/1/31336/4253
Fax: ++43/1/31336/736
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