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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Bibliographic Details
Main Authors: YU, Jun, Phillips, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2002
Subjects:
Online Access: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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Institution: Singapore Management University
Language: English

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