Indirect Robust Estimation of the Short-term interest Rate Process

We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it corrects both errors due to discretization and the errors due to model misspecification. We apply this new approach to various monthly and weekly Eurocurrency interest rate series.

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Year of publication:	2005-03
Authors:	Czellar, Veronika ; Karolyi, G. Andrew ; Ronchetti, Elvezio
Institutions:	Swiss Finance Institute
Subject:	GMM and RGMM estimators \| CKLS one factor model \| indirect inference

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Extent:	application/pdf
Series:	FAME Research Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005264594