Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates
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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Volume (Year): 52 (1997)
Issue (Month): 4 (September)
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