Indirect Robust Estimation of the Short-term interest Rate Process

Veronika Czellar, G. Karolyi and Elvezio Ronchetti
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Veronika Czellar: Dept. of Econometrics, University of Geneva
Elvezio Ronchetti: Dept. Econometrics, University of Geneva

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it corrects both errors due to discretization and the errors due to model misspecification. We apply this new approach to various monthly and weekly Eurocurrency interest rate series.

Keywords: GMM and RGMM estimators; CKLS one factor model; indirect inference (search for similar items in EconPapers)
JEL-codes: C10 C15 C22 C53 G10 G12 (search for similar items in EconPapers)
Date: 2005-03
New Economics Papers: this item is included in nep-ecm and nep-fin
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Related works:
Journal Article: Indirect robust estimation of the short-term interest rate process (2007)
Working Paper: Indirect robust estimation of the short-term interest rate process (2007)
Working Paper: Indirect Robust Estimation of the Short-term Interest Rate Process (2005)
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