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
β¦ LIBER β¦
A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
β Scribed by Isao Shoji; Tohru Ozaki
- Publisher
- Springer
- Year
- 1996
- Tongue
- English
- Weight
- 687 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1573-6946
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