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| Author: | Broze, L. Scaillet, O. Zakoian, J.-M. |
| Title: | Testing for continuous-time models of the short-term interest rate |
| Journal: | Journal of Empirical Finance
1995 : SEP, VOL. 2:3, p. 199-224 |
| Index terms: | TESTS MODELS INTEREST RATES |
| Language: | eng |
| Abstract: | The recent financial literature has been much concerned with the short-term interest rate. Several models have been proposed and studied quite extensively. Despite the number of models, relatively little is known about their empirical comparison. A first approach of this problem is proposed in Chan et al. (1992) using a Generalized Method of Moments. In this paper, the authors give a general form encompassing the most usual models and derive a well specified discrete time version. |
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