Search Results - subject:"drift function"

Statistical testing and estimation in continuous time interest rate models

Wang, Suojin (contributor) - 2005

The shape of drift function in continuous time interest rate models has beeninvestigated by many authors during the … past decade. The main concerns have beenwhether the drift function is linear or nonlinear, but no convincing conclusions … havebeen seen. In this dissertation, we investigate the reason for this problem and testseveral models of the drift function …

Persistent link: https://www.econbiz.de/10009464788

Empirical comparisons in short-term interest rate models using nonparametric methods

Arapis, Manuel; Gao, Jiti - Volkswirtschaftliche Fakultät, … - 2004

This study applies the nonparametric estimation procedure to the diffusion process modeling the dynamics of short-term interest rates. This approach allows us to operate in continuous time, estimating the continuous-time model, despite the use of discrete data. Three methods are proposed. We...

Persistent link: https://www.econbiz.de/10005786891