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An analysis of short-period terms in the universal time

โœ Scribed by Zheng Da-wei


Publisher
Elsevier Science
Year
1979
Weight
270 KB
Volume
3
Category
Article
ISSN
0146-6364

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An empirical comparison of continuous ti
โœ Bali, Turan G. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 225 KB ๐Ÿ‘ 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