| 主题： |
Testing for the Diffusion Matrix in a Continuous-Time Markov ProcessModel with Applications to the Term Structure of Interest Rates |
| 类型： |
学术报告
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| 主办方： |
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| 报告人： |
Dr. FuchunLi |
| 日期： |
2018年4月23日 16:00-17:00 |
| 地点： |
知新楼B-1238 |
| 内容： |
报告题目： Testing for the Diffusion Matrix in a Continuous-Time Markov ProcessModel with Applications to the Term Structure of Interest Rates 报 告 人： Dr. FuchunLi (Senior Economist at the Bank of Canada) 报告时间 ：2018年4月23日 16:00-17:00 报告地点：知新楼B-1238 报告摘要： The author proposes a testfor the parametric specification of each component in the diffusion matrix of ad-dimensional diffusion process. Overall, d (d-1)/2 test statistics areconstructed for the off-diagonal components, while d test statistics are constructedfor the main diagonal components. 欢迎各位老师同学积极参加！ |
