Closed-form likelihood estimation for one type of affine point processes |
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| Authors: | Suxin Wang Yongjin Wang |
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| Institution: | 1. School of Science, Civil Aviation University of China, Tianjin, People’s Republic of China;2. School of Mathematical Sciences, Nankai University, Tianjin, People’s Republic of China |
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| Abstract: | ABSTRACTThis paper presents a closed-form likelihood approximation for one type of affine point processes widely used in financial credit risk models. We proceed by first conjecturing the concrete series form of the transition density, verifying our postulation and then establishing the related coefficients by means of Kolmogorov equations. The asymptotic properties of the maximum-likelihood estimators (MLEs) are given in the end. |
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| Keywords: | Kolmogorov equations MLE Transition density |
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