Gaussian Estimation of a Two-factor Continuous Time Model of the Short-term Interest Rate
โ Scribed by A. R. Bergstrom; K. B. Nowman
- Book ID
- 108557529
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 205 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0391-5026
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๐ SIMILAR VOLUMES
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
## Abstract We consider a new approach for estimating the coefficients of the term structure equation in twoโfactor models. This approach is based on the fact that the riskโneutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have
## Abstract This article presents a twoโfactor model of the term structure of interest rates. It is assumed that defaultโfree discount bond prices are determined by the time to maturity and two factors, the longโterm interest rate, and the spread (i.e., the difference) between the shortโterm (insta