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Testing for continuous-time models of the short-term interest rate

✍ Scribed by Laurence Broze; Olivier Scaillet; Jean-Michel Zakoïan


Book ID
116161716
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
950 KB
Volume
2
Category
Article
ISSN
0927-5398

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📜 SIMILAR VOLUMES


An empirical comparison of continuous ti
✍ Bali, Turan G. 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 225 KB 👁 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