A simple measure for examining the proxy problem of the short-rate
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Publication:841846
DOI10.1007/s10690-008-9066-0zbMath1170.91362OpenAlexW2066569809MaRDI QIDQ841846
Publication date: 18 September 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-008-9066-0
Cites Work
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Modelling the term structure of interest rates with general short-rate models
- A Theory of the Term Structure of Interest Rates
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- An equilibrium characterization of the term structure