An empirical comparison of continuous ti
β
Bali, Turan G.
π
Article
π
1999
π
John Wiley and Sons
π
English
β 225 KB
π 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