Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates

K B Nowman

Journal of Finance, 1997, vol. 52, issue 4, 1695-1706

Abstract: This article presents the first application in finance of recently developed methods for the Gaussian estimation of continuous time dynamic models. A range of one factor continuous time models of the short-term interest rate are estimated using a discrete time model and compared to a recent discrete approximation used by K. C. Chan, et al. (1992). Whereas the volatility of short-term rates is highly sensitive to the level of rates in the United States, it is not in the United Kingdom. Copyright 1997 by American Finance Association.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (91)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819970 ... O%3B2-R&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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: https://EconPapers.repec.org/RePEc:bla:jfinan:v:52:y:1997:i:4:p:1695-1706

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().