𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A Gaussian approach for continuous time models of the short-term interest rate

✍ Scribed by Jun Yu; Peter C. B. Phillips

Book ID
108513031
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
130 KB
Volume
4
Category
Article
ISSN
1368-4221

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

An empirical comparison of continuous ti
An empirical comparison of continuous time models of the short term interest rate
✍ Bali, Turan G. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 225 KB πŸ‘ 2 views

This article tests the performance of a wide variety of well-known continuous time models-with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term structure model-in capturing the stochastic behavior of the short term interest rate volatility. Many popular interest rate mod

Nonlinear asymmetric models of the short
Nonlinear asymmetric models of the short-term interest rate
✍ K. Ozgur Demirtas πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 218 KB πŸ‘ 2 views

This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short-term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the l