๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models

โœ Scribed by Licheng Sun


Book ID
110681148
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
159 KB
Volume
26
Category
Article
ISSN
0270-2592

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Nonlinear asymmetric models of the short
โœ K. Ozgur Demirtas ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 218 KB ๐Ÿ‘ 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

An empirical comparison of continuous ti
โœ Bali, Turan G. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 225 KB ๐Ÿ‘ 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