haku: @author Pritsker, M. / yhteensä: 2
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Tekijä: | Pritsker, M. |
Otsikko: | Nonparametric density estimation and tests of continuous time interest rate models. |
Lehti: | Review of Financial Studies
1998 : FALL, VOL. 11:3, p. 449-487 |
Asiasana: | INTEREST RATES SIMULATION ESTIMATION |
Kieli: | eng |
Tiivistelmä: | The author studies the finite sample distribution of one of Ait-Sahalia's nonparametric tests of continuous-time models of the short-term riskless rate. The test rejects true models too often because interest rate data are highly persistent but the asymptotic distribution of the test (and of the kernal density estimator on which the test is based) treats the data as if it were independently and identically distributed. |
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