Diagnostic for Volatility and Local Influence Analysis for the Vasicek Model

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dc.catalogadorjlo
dc.contributor.authorGalea Rojas, Manuel Jesús
dc.contributor.authorMolina Núñez, Alonso Maximiliano
dc.contributor.authorBeaudry, Isabelle S.
dc.date.accessioned2025-03-12T19:11:07Z
dc.date.available2025-03-12T19:11:07Z
dc.date.issued2025
dc.description.abstractThe Ornstein–Uhlenbeck process is widely used in modeling biological systems and, in financial engineering, is commonly employed to describe the dynamics of interest rates, currency exchange rates, and asset price volatilities. As in any stochastic model, influential observations, such as outliers, can significantly influence the accuracy of statistical analysis and the conclusions we draw from it. Identifying atypical data is, therefore, an essential step in any statistical analysis. In this work, we explore a set of methods called local influence, which helps us understand how small changes in the data or model can affect an analysis. We focus on deriving local influence methods for models that predict interest or currency exchange rates, specifically the stochastic model called the Vasicek model. We develop and implement local influence diagnostic techniques based on likelihood displacement, assessing the impact of the perturbation of the variance and the response. We also introduce a novel and simple way to test whether the model’s variability stays constant over time based on the Gradient test. The purpose of these methods is to identify potential risks of reaching incorrect conclusions from the model, such as the inaccurate prediction of future interest rates. Finally, we illustrate the methodology using the monthly exchange rate between the US dollar and the Swiss franc over a period exceeding 20 years and assess the performance through a simulation study.
dc.fechaingreso.objetodigital2025-03-12
dc.format.extent20 páginas
dc.fuente.origenORCID
dc.identifier.doi10.3390/jrfm18020063
dc.identifier.issn1911-8074
dc.identifier.urihttps://doi.org/10.3390/jrfm18020063
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/102537
dc.information.autorucFacultad de Matemáticas; Galea Rojas, Manuel Jesús; 0000-0001-9819-5843; 1008589
dc.information.autorucFacultad de Matemáticas; Molina Núñez, Alonso Maximiliano; S/I; 194487
dc.issue.numero63
dc.language.isoen
dc.nota.accesocontenido completo
dc.revistaJournal of Risk and Financial Management
dc.rightsacceso abierto
dc.subjectInfluence diagnostics
dc.subjectOrnstein–Uhlenbeck processes
dc.subjectLikelihood inference
dc.subjectStochastic interest rate models
dc.subject.ods08 Decent work and economic growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleDiagnostic for Volatility and Local Influence Analysis for the Vasicek Model
dc.typeartículo
dc.volumen18
sipa.codpersvinculados1008589
sipa.codpersvinculados194487
sipa.trazabilidadORCID;2025-03-03
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