A Simple Measure for Examining the Proxy Problem of the Short-Rate
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Volume (Year): 14 (2007)
Issue (Month): 4 (December)
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- Hideyuki Takamizawa, 2008. "Is Nonlinear Drift Implied by the Short End of the Term Structure?," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 311-346, January.
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- Durham, Garland B., 2003. "Likelihood-based specification analysis of continuous-time models of the short-term interest rate," Journal of Financial Economics, Elsevier, vol. 70(3), pages 463-487, December.
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