Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter

Travis Sapp ()

Review of Quantitative Finance and Accounting, 2009, vol. 33, issue 4, 303-326

Keywords: Stochastic volatility; Short interest rate; Generalized method of moments; GMM; Kalman filter; Quasi-maximum likelihood; G12; C51 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11156-009-0122-2

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