Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter
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References listed on IDEAS
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More about this item
KeywordsStochastic volatility; Short interest rate; Generalized method of moments; GMM; Kalman filter; Quasi-maximum likelihood; G12; C51;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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