A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany

DOI10.1007/BF02425805zbMath1153.91769MaRDI QIDQ1000416

Tohru Ozaki, Isao Shoji

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationmodel selectioninterest rateAIClocal linearization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Statistical methods; economic indices and measures (91B82)

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Approximation of continuous time stochastic processes by the local linearization method revisited ⋮ Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Pricing the Chicago Board of Trade T-Bond futures

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Theory of the Term Structure of Interest Rates
• A local linearization approach to nonlinear filtering
• An equilibrium characterization of the term structure
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