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
✦ LIBER ✦
On the robustness of short–term interest rate models
✍ Scribed by Sirimon Treepongkaruna; Stephen Gray
- Book ID
- 108514137
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 805 KB
- Volume
- 43
- Category
- Article
- ISSN
- 0810-5391
No coin nor oath required. For personal study only.
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