Adaptation in natural and artificial systems
Adaptation in natural and artificial systems
Information Processing Letters
Genetic algorithms + data structures = evolution programs (3rd ed.)
Genetic algorithms + data structures = evolution programs (3rd ed.)
Genetic Algorithms in Search, Optimization and Machine Learning
Genetic Algorithms in Search, Optimization and Machine Learning
The Design of Innovation: Lessons from and for Competent Genetic Algorithms
The Design of Innovation: Lessons from and for Competent Genetic Algorithms
Computational Statistics & Data Analysis
Maximum Likelihood Estimation of the Cox---Ingersoll---Ross Model Using Particle Filters
Computational Economics
Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact
Computational Economics
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This paper estimates a model of interest rate dynamics containing multi-factor Wiener and single-factor Poisson jump volatility components. Data from the highly liquid but short term futures markets are used. The difficult numerical problem of estimating such multi-factor models is resolved by using a genetic algorithm to carry out the optimization procedure. It is established that the multi-factor Wiener volatility components are adequate to model the interest rate dynamics without the need to incorporate Poisson jump components, the existence of which would create difficulties in the practical use of interest rate models.