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Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment |
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| Authors: | Albano Giuseppina La Rocca Michele Perna Cira |
| Affiliation: | 1.Department of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy ; |
| Abstract: | Decisions in Economics and Finance - In this paper we analyze small sample properties of the ML estimation procedure in Vasicek and CIR models. In particular, we consider short time series, with a... |
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