est.feller: Estimates the parameters of the Feller process.

In SMFI5: R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering'

Description

Estimates the parameters of the Feller process

dr = alpha(beta-r)dt + sigma sqrt(r) dW

The time scale is in years and the units are percentages.

Usage

est.feller(data, method = "Hessian", days = 360, significanceLevel = 0.95)

Arguments

data	annual bonds yields in percentage;
method	'Hessian' (default), 'num';
days	number of days per year (default: 360);
significanceLevel	(95% default).

Value

param	parameters (alpha, beta, sigma) of the model;
error	estimation errors for the given confidence level.

Note

Translated from Matlab by David-Shaun Guay (HEC Montreal grant).

Author(s)

Bruno Remillard

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

Examples

data(data.cir)
out = est.feller(data.cir[,1]) #The first colum contains returns.

SMFI5 documentation built on May 2, 2019, 10:25 a.m.