Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter
| Year of publication: |
2009
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| Authors: | Sapp, Travis |
| Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 33.2009, 4, p. 303-326
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| Publisher: |
Springer |
| Subject: | Stochastic volatility | Short interest rate | Generalized method of moments | GMM | Kalman filter | Quasi-maximum likelihood |
| Extent: | text/html |
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| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008531531