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.

********************************************************** 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 ********************************************************** =========================================================================