Empirical comparisons in short-term interest rate models using nonparametric methods
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- Manuel Arapis & Jiti Gao, 2006. "Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 310-345.
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More about this item
KeywordsDiffusion process; drift function; kernel density estimation; stochastic volatility;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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