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Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates

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  • Nowman, K B

Abstract

This article presents the first application in finance of recently developed methods for the Gaussian estimation of continuous time dynamic models. A range of one factor continuous time models of the short-term interest rate are estimated using a discrete time model and compared to a recent discrete approximation used by K. C. Chan, et al. (1992). Whereas the volatility of short-term rates is highly sensitive to the level of rates in the United States, it is not in the United Kingdom. Copyright 1997 by American Finance Association.

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  • Nowman, K B, 1997. "Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 52(4), pages 1695-1706, September.
  • Handle: RePEc:bla:jfinan:v:52:y:1997:i:4:p:1695-1706
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