Description Usage Arguments Value Note Author(s) References
Loglikelihood for the CIR model
dr = alpha(beta-r)dt + sigma sqrt(r) dW
with market price of risk q(r) = q1/sqrt(r) +q2 sqrt(r). The time scale is in years and the units are percentages.
1 | LogLikCIR( theta, R, tau, days, n)
|
theta |
Vector of parameters: (alpha,beta,sigma,q1,q2). |
R |
Observed returns. |
tau |
Maturities. |
days |
Number of days in a year. |
n |
Length of the time series. |
LL |
-1 x Log-likelihood (to be minimized). |
Translated from Matlab by David-Shaun Guay (HEC Montreal grant).
Bruno Remillard
Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).
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