Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates
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More about this item
KeywordsElasticity of conditional variance; generalized method of moments; jackknife estimation; stochastic differential equations; short-term interest rate.;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-ECM-2008-02-09 (Econometrics)
- NEP-MON-2008-02-09 (Monetary Economics)
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