题目：Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates

报告人：Dr. Fuchun Li,   Senior Economist at the Bank of Canada

摘要：The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.

时间：2018年4月23日 16:00-17:00

地点：知新楼 B座 1238

邀请人：陈增敬