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Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model |
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| Authors: | E. Fülöp G. Pap |
| Affiliation: | (1) Department of Applied Mathematics and Probability Theory, Faculty of Informatics, University of Debrecen, Pf. 12, Debrecen, Hungary, H–4010 |
| Abstract: | We consider a discrete time Heath–Jarrow–Morton-type forward interest rate model, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency of maximum likelihood estimators is proved for stable and unstable no-arbitrage models containing a simple stochastic discounting factor. This research was supported by the Hungarian Scientific Research Fund under Grant No. OTKA–T048544/2005. |
| Keywords: | strong consistency of maximum likelihood estimators from nonindependent samples Heath– Jarrow– Mortontype forward interest rate model geometric spatial autoregression field no-arbitrage models stochastic discounting factors |
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