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

DOI10.1007/BF02425805zbMath1153.91769MaRDI QIDQ1000416

Isao Shoji, Tohru Ozaki

Publication date: 6 February 2009

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

zbMATH Keywords

stochastic differential equation; model selection; interest rate; AIC; local linearization

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

91B82: Statistical methods; economic indices and measures