Gaussian estimation of continuous time models of the short term interest rate
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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2001
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2114 https://ink.library.smu.edu.sg/context/soe_research/article/3114/viewcontent/SSRN_id278539__1_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |