haku: @author Andersen, T. G. / yhteensä: 4
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| Tekijä: | Andersen, T. G. Lund, J. |
| Otsikko: | Estimating continuous-time stochastic volatility models of the short-term interest rate |
| Lehti: | Journal of Econometrics
1997 : APR, VOL. 77:2, p. 343-377 |
| Asiasana: | INTEREST RATES ESTIMATION VOLATILITY USA |
| Kieli: | eng |
| Tiivistelmä: | Consistent parameter estimates of continuous-time stochastic volatility diffusions for the U.S. risk-free short-term interest rate (sampled weekly over 1954-1995), using the Efficient Method of Moments procedure of Gallant and Tauchen is obtained in this paper. The model displays mean reversion and incorporates level effects and stochastic volatility in the diffusion function. The Cox-Ingersoll-Ross model with an added stochastic volatility factor provides a good characterization of the short rate process. Recently proposed GARCH models fail to approximate discrete-time short rate dynamics."Level-EGARCH" models perform well. |
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