The term structure of Russian interest rates

Stanislav Anatolyev and Sergey Korepanov

Applied Economics Letters, 2003, vol. 10, issue 13, 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 Ait-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
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Citations: View citations in EconPapers (5)

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DOI: 10.1080/1350485032000158609

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