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Further evidence on alternative continuous time models of the short-term interest rate

✍ Scribed by Athanasios Episcopos


Book ID
117699653
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
93 KB
Volume
10
Category
Article
ISSN
1042-4431

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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