The term structure of Russian interest rates

Stanislav Anatolyev () and Sergey Korepanov

Applied Economics Letters, 2003, vol. 10, issue 13, pages 867-870

Abstract: Using the series of Moscow Interbank Offer Rates, this paper estimates a flexible parametrization of the diffusion process following the approach of Aït-Sahalia (1996) of matching parametric and nonparametric estimates of the marginal density. On the basis of the estimated model, the implied term structure using simulations is computed.

Date: 2003
View list of references View citations in EconPapers

Downloads: (external link)
http://taylorandfrancis.metapress.com/link.asp?tar ... &id=QCBFNR8HBFLHH4WR (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apeclt:v:10:y:2003:i:13:p:867-870

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.html

Access Statistics for this article

Applied Economics Letters is edited by Mark Taylor

More articles in Applied Economics Letters from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().