Publication Type
Journal Article
Publication Date
2002
Abstract
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite-sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to US and British interest rates is given.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometrics Journal
Volume
4
Issue
2
First Page
210
Last Page
224
ISSN
1368-4221
Identifier
10.1111/1368-423X.00063
Publisher
Wiley
Citation
YU, Jun and Phillips, Peter C. B..
A Gaussian Approach for Continuous Time Models of Short Term Interest Rates. (2002). Econometrics Journal. 4, (2), 210-224. Research Collection School Of Economics.
Available at: https://ink.library.smu.edu.sg/soe_research/501
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Additional URL
http://dx.doi.org/10.1111/1368-423X.00063