A Gaussian Approach for Continuous Time Models of Short Term Interest Rates

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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書目詳細資料
Main Authors:	YU, Jun, Phillips, Peter C. B.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2002
主題:	Econometrics
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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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