Drift and diffusion function specification for short-term interest rates

DOI10.1016/J.ECONLET.2004.09.002MaRDI QIDQ1927755zbMATH OpenOpenAlexFDO

Authors Myoung-jae Lee, Wenjuan Li

Publication date 2 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/soe_research/177

zbMATH Keywords

spatial correlationdiffusionshort rate

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
• Regime-switching univariate diffusion models of the short-term interest rate
• Modelling the term structure of interest rates with general short-rate models
• A short term interest rate model
• Remarks on some short rate term structure models

Cites work

• Nonparametric Pricing of Interest Rate Derivative Securities
• The jackknife and the bootstrap for general stationary observations
• Theoretical comparisons of block bootstrap methods

Cited in

(5)

• What drives short rate dynamics? A functional gradient descent approach
• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
• An affine model for short rates when monetary policy is path dependent
• scientific article; zbMATH DE number 7107673 (Why is no real title available?)
• Comparison of the performance of a time‐dependent short‐interest rate model with time‐independent models

This page was built for publication: Drift and diffusion function specification for short-term interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1927755)