A Gaussian Approach for Continuous Time Models of Short Term Interest Rates
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite-sample...
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2002
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sg-smu-ink.soe_research-15002018-07-13T05:38:21Z A Gaussian Approach for Continuous Time Models of Short Term Interest Rates YU, Jun Phillips, Peter C. B. This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite-sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to US and British interest rates is given. 2002-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/501 info:doi/10.1111/1368-423X.00063 https://ink.library.smu.edu.sg/context/soe_research/article/1500/viewcontent/gaussian.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics |
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Econometrics YU, Jun Phillips, Peter C. B. A Gaussian Approach for Continuous Time Models of Short Term Interest Rates |
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This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite-sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to US and British interest rates is given. |
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text |
| author |
YU, Jun Phillips, Peter C. B. |
| author_facet |
YU, Jun Phillips, Peter C. B. |
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YU, Jun |
| title |
A Gaussian Approach for Continuous Time Models of Short Term Interest Rates |
| title_short |
A Gaussian Approach for Continuous Time Models of Short Term Interest Rates |
| title_full |
A Gaussian Approach for Continuous Time Models of Short Term Interest Rates |
| title_fullStr |
A Gaussian Approach for Continuous Time Models of Short Term Interest Rates |
| title_full_unstemmed |
A Gaussian Approach for Continuous Time Models of Short Term Interest Rates |
| title_sort |
gaussian approach for continuous time models of short term interest rates |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2002 |
| url |
https://ink.library.smu.edu.sg/soe_research/501 https://ink.library.smu.edu.sg/context/soe_research/article/1500/viewcontent/gaussian.pdf |
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