The term structure of Russian interest rates
AbstractUsing the series of Moscow Interbank Offer Rates, this paper estimates a flexible parametrization of the diffusion process following the approach of Ait-Sahalia (1996) of matching parametric and nonparametric estimates of the marginal density. On the basis of the estimated model, the implied term structure using simulations is computed.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 13 ()
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