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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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2002
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| 在線閱讀: | 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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