An empirical comparison of continuous ti
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Bali, Turan G.
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Article
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1999
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John Wiley and Sons
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English
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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