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Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand

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  • Phillips, Peter
  • Yu, Jun

Abstract

This paper proposes an exact Gaussian estimator for nonlinear continuous time models of the term structure of interest rates. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to U.S. and British interest rates is given.

Suggested Citation

  • Phillips, Peter & Yu, Jun, 2000. "Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand," Working Papers 161, Department of Economics, The University of Auckland.
    • Handle: RePEc:auc:wpaper:161
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    File URL: http://hdl.handle.net/2292/161
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    Keywords

    Economics;

    Statistics

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