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Bayesian comparison of several continuous time models of the Australian short rate

✍ Scribed by Andrew D. Sanford; Gael M. Martin


Book ID
110936497
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
146 KB
Volume
46
Category
Article
ISSN
0810-5391

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πŸ“œ SIMILAR VOLUMES


An empirical comparison of continuous ti
✍ 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