Adaptive Interest Rate Modelling
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References listed on IDEAS
- Ait-Sahalia, Yacine, 1996.
"Testing Continuous-Time Models of the Spot Interest Rate,"
The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
- Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
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- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
Keywords
CIR model; Interest rate; Local parametric approach; Time homogeneous interval; Adaptive statistical techniques;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2010-06-04 (Central Banking)
- NEP-FOR-2010-06-04 (Forecasting)
- NEP-MAC-2010-06-04 (Macroeconomics)
- NEP-MON-2010-06-04 (Monetary Economics)
Statistics
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