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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |