Browsing Department of Mathematics by Author "Hanevik, Severin"
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Comparing Maximum Likelihood and Generalized Method of Moments in Short Term Interest Rate Models
Hanevik, Severin (Master thesis, 2016-02-01)In this thesis we will look at some different continuous models for predicting the short term interest rate, and focus on the method of parameter estimation in such models. A particular focus will be placed on the method ...