Corrigendum to "A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"

Corrigendum to "A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"

An error is corrected in Yu and Phillips (2001) (Econometrics Journal, 4, 210-224) where a time transformation was used to induce Gaussian disturbances in the discrete time equivalent model. It is shown that the error process in this model is not a martingale and the Dambis, Dubins-Schwarz (DDS) the...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Nonlinear Diffusion
Normalizing Transformation
Level Effect
DDS Theorem.
Econometrics
Economic Theory
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/1237
https://ink.library.smu.edu.sg/context/soe_research/article/2236/viewcontent/py_corr08.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1237
https://ink.library.smu.edu.sg/context/soe_research/article/2236/viewcontent/py_corr08.pdf

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