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| Tekijä: | Bandi, F. M. |
| Otsikko: | Short-term interest rate dynamics: a spatial approach |
| Lehti: | Journal of Financial Economics
2002 : JUL, VOL. 65:1, p. 73-110 |
| Asiasana: | Interest rates Financial models |
| Vapaa asiasana: | Nonparametric estimation Local time Short-term interest rate |
| Kieli: | eng |
| Tiivistelmä: | The authors use fully functional methods to describe and study the dynamics of the short-term interest rate process to continuous-time. The suggested procedure exploits the spatial properties, embodied in the local time process, of the diffusion of interest, and is robust against deviations from stationarity. The results indicate that the misspecification of a standard constant elasticity of variance model with linear mean-reverting drift cannot be attributed to the nonlinear behaviour of the infinitesimal first moment of the short-term interest rate process at high rates. |
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