Pauliina Ilmonen, Milla Laurikkala, Kostiantyn Ralchenko, Tommi Sottinen, Lauri Viitasaari
arXiv 3 Sep 2025 · Econometrics
arXiv:2509.03208 · PDF · DOI · OpenAlex · Extracted main text
The Vasicek model is a commonly used interest rate model, and there exist many extensions and generalizations of it. However, most generalizations of the model are either univariate or assume the noise process to be Gaussian, or both. In this article, we study a generalized multivariate Vasicek model that allows simultaneous modeling of multiple interest rates while making minimal assumptions. In the model, we only assume that the noise process has stationary increments with a suitably decaying autocovariance structure. We provide estimators for the unknown parameters and prove their consistencies. We also derive limiting distributions for each estimator and provide theoretical examples. Furthermore, the model is tested empirically with both simulated data and real data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen, Soledad Torre… (2022) Vector-valued generalised Ornstein-Uhlenbeck processes: properties and parameter estimation self | 1.000 | 9 | 3 | 100% |
| 2 | Fischer Black and Myron Scholes (1973) The pricing of options and corporate liabilities | 0.511 | 2 | 1 | 100% |
| 3 | Robert C. Merton (1973) Theory of rational option pricing | 0.511 | 2 | 1 | 100% |
| 4 | Oldrich Vasicek (1977) An equilibrium characterization of the term structure | 0.511 | 2 | 1 | 100% |
| 5 | Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari, and Adil Yazigi (2014) Necessary and sufficient conditions for Hölder continuity of Gaussian processes self | 0.405 | 1 | 1 | 100% |
| 6 | Kalok C. Chan, G. Andrew Karolyi, Francis A. Longstaff, and Anthony… (1992) An empirical comparison of alternative models of the short-term interest rate | 0.405 | 1 | 1 | 100% |
| 7 | Fabienne Comte and Eric Renault (1998) Long memory in continuous-time stochastic volatility models | 0.405 | 1 | 1 | 100% |
| 8 | John C. Cox, Jonathan E. Ingersoll, and Stephen A. Ross (1985) A theory of the term structure of interest rates | 0.405 | 1 | 1 | 100% |
| 9 | Board of Governors of the Federal Reserve System (US) (2025) Federal Funds Effective Rate [DFF], retrieved from FRED, Federal Reserve Bank of St. Louis | 0.405 | 1 | 1 | 100% |
| 10 | Bank of Finland (2025) Euribor* rates and Eonia* rate, monthly average | 0.405 | 1 | 1 | 100% |
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