Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand

Peter Phillips and Jun Yu

No 161, Working Papers from Department of Economics, The University of Auckland

Abstract: This paper proposes an exact Gaussian estimator for nonlinear continuous time models of the term structure of interest rates. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to U.S. and British interest rates is given.

Keywords: Economics (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/2292/161

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:auc:wpaper:161

Access Statistics for this paper

More papers in Working Papers from Department of Economics, The University of Auckland Contact information at EDIRC.
Bibliographic data for series maintained by Library Digital Development ().