haku: @author Sun, L. / yhteensä: 7
viite: 4 / 7
Tekijä:Sun, L.
Otsikko:Nonlinear drift and stochastic volatility: an empirical investigation of short-term interest rate models
Lehti:Journal of Financial Research
2003 : FALL, VOL. 26:3, p. 389-404
Asiasana:Interest rates
Stochastic processes
Volatility
Kieli:eng
Tiivistelmä:New evidence is provided in this paper on the role of nonlinear drift and stochastic volatility in interest rate modeling. Various modeling spesification are compared for the short-term interest rate using data from five countries. It is found that modeling the stochastic volatility in the short rate is far more important than specifying the shape of the drift function.
SCIMA tietueen numero: 255861
lisää koriin
SCIMA