Description Usage Arguments Value Note Author(s) References Examples
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.
1 | est.feller(data, method = "Hessian", days = 360, significanceLevel = 0.95)
|
data |
annual bonds yields in percentage; |
method |
'Hessian' (default), 'num'; |
days |
number of days per year (default: 360); |
significanceLevel |
(95% default). |
param |
parameters (alpha, beta, sigma) of the model; |
error |
estimation errors for the given confidence level. |
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).
1 2 | data(data.cir)
out = est.feller(data.cir[,1]) #The first colum contains returns.
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