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Likelihood-based specification analysis of continuous-time models of the short-term interest rate

✍ Scribed by Garland B. Durham


Book ID
114221419
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
518 KB
Volume
70
Category
Article
ISSN
0304-405X

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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