József Gáll: Model selection in a family of forward interest rate models
Source: Seminar for probability, statistics, and financial mathematics
Povzetek: We shall consider some statistical problems in discrete time Heath-Jarrow-Morton (HJM) type interest rate models, where the forward rates are driven by random fields. The models we discuss are proposed by Gáll, Pap and Zuijlen. We focus on a model selection problem. For this we consider maximum likelihood estimation of the parameters and discuss a possible test for model selection as well as some related statistical results.