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
โฆ LIBER โฆ
Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models
โ 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.
๐ SIMILAR VOLUMES
Nonlinear asymmetric models of the short
โ
K. Ozgur Demirtas
๐
Article
๐
2006
๐
John Wiley and Sons
๐
English
โ 218 KB
๐ 2 views
An empirical comparison of continuous ti
โ
Bali, Turan G.
๐
Article
๐
1999
๐
John Wiley and Sons
๐
English
โ 225 KB
๐ 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
An Empirical Analysis of the Stochastic
โ
Y.K. Tse
๐
Article
๐
1998
๐
John Wiley and Sons
๐
English
โ 148 KB
Implied Volatility of Interest Rate Opti
โ
Charlotte Christiansen; Charlotte Strunk Hansen
๐
Article
๐
2002
๐
Springer US
๐
English
โ 369 KB
Estimating continuous-time stochastic vo
โ
Travis R. A. Sapp
๐
Article
๐
2009
๐
Springer US
๐
English
โ 571 KB