Related papers: The Wishart short rate model

We propose an algorithm which predicts each subsequent time step relative to the previous timestep of intractable short rate model (when adjusted for drift and overall distribution of previous percentile result) and show that the method…

We are interested in the distribution of Wishart samples after forgetting their scaling factors. We call such a distribution a projective Wishart distribution. We show that projective Wishart distributions have strong links with the…

We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3), 2010), where the volatility matrix is modelled by a…

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates.…

A Wishart kernel density estimator (KDE) is introduced for density estimation in the cone of positive definite matrices. The estimator is boundary-aware and mitigates the boundary bias suffered by conventional KDEs, while remaining simple…

Rate processes are simple and analytically tractable models for many dynamical systems which switch stochastically between a discrete set of quasi stationary states but they may also approximate continuous processes by coarse grained,…

This paper develops a methodology for approximating the posterior first two moments of the posterior distribution in Bayesian inference. Partially specified probability models, which are defined only by specifying means and variances, are…

These lecture notes provide a comprehensive, self-contained introduction to the analysis of Wishart matrix moments. This study may act as an introduction to some particular aspects of random matrix theory, or as a self-contained exposition…

Multivariate processes with long-range dependent properties are found in a large number of applications including finance, geophysics and neuroscience. For real data applications, the correlation between time series is crucial. Usual…

We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for…

This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine…

This paper focuses on Bayesian shrinkage for covariance matrix estimation. We examine posterior properties and frequentist risks of Bayesian estimators based on new hierarchical inverse-Wishart priors. More precisely, we give the existence…

A characterization of the existence of non-central Wishart distributions (with shape and non-centrality parameter) as well as the existence of solutions to Wishart stochastic differential equations (with initial data and drift parameter) in…

We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators…

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…

The prediction of wind speed is very important when dealing with the production of energy through wind turbines. In this paper, we show a new nonparametric model, based on semi-Markov chains, to predict wind speed. Particularly we use an…

In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there is the impossibility of observing the rate of return and…

In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive…

The mathematical model of a linear system with the short memory about own stochastic behavior is proposed. It is assumed that the system is under a continual influence of independent stochastic impulses. In a short memory approximation the…

We investigate the joint description of the interest-rate term stuctures of Italy and an AAA-rated European country by mean of a --here proposed-- correlated CIR-like bivariate model where one of the state variables is interpreted as a…