✦ LIBER ✦

Indirect robust estimation of the short-term interest rate process

✍ Scribed by Veronika Czellar; G. Andrew Karolyi; Elvezio Ronchetti

Book ID: 116641616
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 686 KB
Volume: 14
Category: Article
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2006.09.004

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On the robustness of short–term interest

On the robustness of short–term interest rate models

✍ Sirimon Treepongkaruna; Stephen Gray 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 805 KB

Nonlinear asymmetric models of the short

Nonlinear asymmetric models of the short-term interest rate

✍ K. Ozgur Demirtas 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 218 KB 👁 2 views

This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short-term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the l

Gaussian Estimation of a Two-factor Cont

Gaussian Estimation of a Two-factor Continuous Time Model of the Short-term Interest Rate

✍ A. R. Bergstrom; K. B. Nowman 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 205 KB

THE IMPACT OF MONEY ON SHORT-TERM INTERE

THE IMPACT OF MONEY ON SHORT-TERM INTEREST RATES

✍ WILLIAM REICHENSTEIN 📂 Article 📅 1987 🏛 Oxford University Press 🌐 English ⚖ 862 KB

The valuation of equity warrants under t

The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate

✍ Xiao, Weilin; Zhang, Weiguo; Zhang, Xili; Chen, Xiaoyan 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 553 KB

On the determination of the Belgian shor

On the determination of the Belgian short term interest rate

✍ J. VUCHELEN 📂 Article 📅 1977 🏛 Groupe De Boeck 🌐 French ⚖ 672 KB